There are some days when I feel like I'm single-handedly keeping the post office in business: there weren't even bills or junk mail today, just self-addressed envelopes containing rejection letters.
When I get a paper rejection letter it's somehow more potent a rejection than the ones that come by email. First I think of something an acquaintance from the Kenyon Workshop Wrote that these are "little pieces of pain addressed to me by me." Then I think of something I've heard attributed to Stephen King: he kept all his rejection notes collected together and pinned to his wall. When the push pin fell out because there were too many pages attached, he got a spike. When the spike fell out, he got published.
Yes, I keep my rejection letters. Some people ask 'why would you ever want to do that?' They're up on my bulletin board, in plain view, as the physical proof that I am working toward a goal.
My problem with them is that they're inaction instead of action. They are dead ends where I had previously been moving forward. Nothing else to do but to turn around and try the next street; to get moving again. I sent two submissions out yesterday, got two rejections today, there'll be two more submissions in the mail tomorrow.