I do not save too many miles, the risk is too big too be stranded with a million miles and obliged to make trips you do not want or lose them !
Every year, I make sure I fly enough paid trips to maintain status. Then I spend my miles for : tickets that would otherwise cost me more than 1 cent per mile, and if there are still miles left I accumulate for one goal / Concorde, first class round trip ... then blow them all.
I also keep some miles for emergencies, though. So I always have over 100 000.
That's for my main airline. For other airlines, I spend them when it is worth it, no accumulation.