For my latest research project, I took the books and wrote in the margins, underlined, made beginning-of-chapter notes, and so on.
Then I took a cheap, yet cool, journal from the Barnes & Noble bargain racks and created a little book of sorts. I made a table of contents, an AP-style listing of my research books, numbered the pages, and started new sections to organize all of the notes as well as the project itself.
I combined the two by taking the notes I made in my research and putting them into the journal, adding explanation and interpretation to show I could understand why these points were important / stuck out to me.
By doing this, I had the notations within my research as they struck me in the moment, went through them again and re-examined them in the process, and collected all of the notes together in one location.
This is how I write researched screenplays, now.