This is what I do:

• Create a lib folder at the solution level
• Download and copy all my third-party DLL files into there
• Reference from the lib folder
• Put all those DLL files in the source control. I am using Subversion, and I add them manually but this is one-off.

You can also add a solution folder and add them there.

UPDATE 2012-12-19

The answer above was when NuGet was in infancy. FWIW, my approach where we have NuGet items:

1. Do as above for plain DLL file dependencies (where they don't have a NuGet pkg)
2. Enable "Package Restore" for the solution
3. Change packages.config file if needed to lock down the version to a particular package
4. Do not store the package themselves in the version control system (set ignore for Git, Mercurial, etc.)

I actually use NuGet for managing even internal dependencies and have a private feed.

Do have a look at Tree Surgeon - Creates a development tree for a .NET project, which can be a good starting point and from there you can improvise.