For me, it is difficult to give a fit-for-all answer. The best method is the method that you are most comfortable with. Different people use different tools. My M.Sc. thesis supervisor was a believer in taking notes in paper notebooks. I prefer to construct a set of structured folders in my PC and and use them for managing different aspects of a project (codes, texts, papers, notes, media, etc.).
Of course, there are software tools that can be helpful too. As Elad Den has answered, reference tools are very helpful (I have personally used Zotero but couldn't like it much and ultimately used plain BibTex files).
On the other hand, there are project management tools that some people are very comfortable with (after all, a thesis is a big project). Trello is a popular and free tool that is very simple to use (I have used it for non-research projects and was very comfortable with it and I believe that it has potentials for managing research projects). Evernote is also another tool that is great for taking notes and has some project management features.
Generally, and based on my personal observations, it mostly depends on your personal preferences and I believe that it is a good investment to spend some time on trying different methods and finding (and/or fine-tuning) your approach. Also, it is not a bad idea to have a talk with your supervisor and have his/her opinion.