Last year they told me that I had been rejected in 2001, 02, 03, 04 - so 05 was my 5th - was then told this year that they could only find entries for 03,04 and 05 - I challenged this and gave them previous addresses and they then came back and admited 02,03 04 and 05 - so as I appear to have been rejected this time as well, I am - when I recieve, going to save this years rejection slip and the letter I recieved from them so that next year they have no doubt at all.
But in theory you do not need to keep the rejection slips as they should be able to trace your records.