I would suggest CD ROM discs. They hold the least amount of data but because discs are usually closed at the end of a data dump, you won't have to wait so long to get enough to fill a disc. Each CD will hold about 700 MBytes of data so just hang on to the magazines until you get that much stored on your hard drive and then fill the disc in one burn.
Rather than a disc, you might also consider a USB thumb drive. The smallest them will hold more than a CD disc and they behave like a hard drive so you can copy small quantities a little at time without 'closing' them from holding more data.
Sixteen Gigabyte thumb drives are generally very reasonable and will hold the equivalent of more than 20 CD discs.