I typically use the "Log and Transfer" function in FCP7, but I'm not sure if everyone else is on FCP7. You can set in and out points for logging each clip and name the clips in the program, which is convenient.
I also will typically record a second clip and have my hand marking the shot when I press record, this way you have a hand as the thumbnail and a make directly before it once you capture on a computer. I know there is also the shot mark and label functions on the camera, but typically these were not shown once you bring it into software or in the finder.