This is a good idea, if you remember to always tell the same lie. Being required to remember which website I told which lie to can only lead to trouble.
You could store them in a password database (Password Safe, 1Password, whatever). It takes a little discipline, but it isn't any different from managing passwords in general.
> Just stick the question and it's answer in the notes section of your password manager.
Since security questions are typically used for things like password recovery, you probably shouldn't manage them with the same tool you use to manage passwords. After all, if you need them, it is likely to indicate a critical failure of your access to (or your data held in) that tool.