That is absolutely essential. Every tax exemption has to be backed by documentary proof. These include premium receipts of the insurance company, PPF statement, Section 24 statement from your home loan provider etc. You normally submit the self attested photocopies to your HR department but ensure that you also keep the originals with you. In the event of any IT investigation or query, you will be asked to produce the originals. You don’t need physical proofs for everything and can also use e-proofs for the same. Also ensure that you file your returns before the due date as during the last few days the rush to file returns can create server related problems.