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My update script will put the old one in the Trash, renamed with the build number attached so 1) you can have several in the Trash without them over-writing one another and 2) in case you want to revert to a previous build.

If I really wanted to keep them and not risk accidentally deleting them (i.e. if you are on a very slow internet connection and didn't want to have to re-download an older build, I'd probably rename the existing version to include the build number and then zip it and leave it in the Applications folder or move it to my downloads folder (which != my desktop)