I read this in a magazine in a doctor's office. We have spent a lot of time at doctors offices this week, so bear with me if I don't recall where I read it.
Anyway, take your set of sheets and store them in the pillow case. It keeps your sheets together with pillow cases. In makes the storage space smaller too, because of less air. Of course if you don't mind a wrinkle in your sheets, I thought this was worth sharing.