I used to throw away the shipper boxes, but now I keep them. It's worth it for me as protection for the art box while it's in storage. I figure it's just another 1/4 inch layer--it's not taking up much more space than the art box. I have about 3 large boxes where I store all the figure boxes and keep them in the attic.
When I first started collecting these figures I too thought I would never sell any of the figures I bought. I bought them for keeps. I mostly collected SW, so when HT started to take over the line, I slowly started selling off the Sideshow versions and upgraded. It's something I never thought I would do, but here I am. I didn't keep the shippers on most of those Sideshow figures, but I can't really say it affected their resale value, as they don't go for much anyway!