You won’t be warned you’re about to do this either so you can find yourself having lost important data if you haven’t saved it.
To save files attached to emails, right click the attachment and choose Save As from the menu and choose a place to save it to.
A good rule of thumb is to do this every time you get an attachment so you won’t be caught out in future. Even saving all attachments to a special attachments folder will save you losing them.
If you need to remind yourself to do this, you can create a rule which checks for emails with attachments and flags them for follow up. This will remind you that you need to save the attachments or at least look at them to see if you need to do this.