Paper is a bad idea as it will absorb and hold moisture. I store my bayonets in their scabbards. I don't pull them out of the scabbard all that often so I am not worried about them getting scratched up. As Carlo states, if you have a lot of M9s, storing them even in the scabbard takes up a lot of space. I have card catalog files from a library that switched over to an electronic card file. They work well for storing three bayonets per drawer. Others are stored in 11 gallon clear plastic Rubbermaid containers that can be stacked.
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