Currently I have each forum set up with its own sub-forum for storing old threads and was wondering if this was the best way to do this, performance-wise. I noticed on the vbulletin site they'd set up one specific forum for storing them all...

I wouldn't know about performance, but I know I have 1 forum in the dev area where I throw in my archive threads. This forum can then be holding sub forums for each section it comes from.