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I find it's worth having a 'Grocery Store' context, and then lumping all my other shopping & errands into one context of 'Errands'. Oh, except I cheat and put 'Return Library Books' into my 'Grocery Store' context because it's right across the street, so I want to be reminded to return library books while I'm at the grocery store.

I think that's really the point of contexts: There's no canonical right way to organize -- you need to put your actions in the context that answers the question "When/where/in what situation do I want to be reminded of this action?"