It depends!
If what I'm working on has a lot of negative space, I'll throw the reference into a new layer of my file (but god do I accidentally draw on that layer sometimes).
If I have a crowded composition, then I'll use a two-up vertical display so that both files appear side-by-side in photoshop while staying as separate files.
If the reference is simple and it's attached to an email/g-doc from a commission client, then I may be lazy and just jump from photoshop to my internet browser.