I agree with Minne- I use hank on headsails with a foredeck bag also. If I'm sailing daily, I leave it on. If not, I take off the whole bag and just treat it like a sailbag.
I actually have 2 or 3 of the foredeck bags of different sizes, so I just store the jib in the foredeck bag. No, it doesn't save time if I'm changing headsails often, but if I'm not changing headsails or storing it, it's ready to go. To answer your original question, again it depends on how often I'm sailing. If daily, I leave the sheets attached to the sail and run them back to cleats, like many people with roller furling do. If I'm not going out daily, I take them off and store them in my sail locker.
1977 C&C 30 Mk 1 hailing from Port Clinton, Ohio