I would put all the photos together - either printed out on paper, or printed as photos in an envelope.
For other supporting documents, some people put them all together at the end, number the pages, and then in the answers on the forms will write the answer and refer to the page number for the actual proof. For example, for the question where they ask if there was an engagement party, I would write:
Yes. We had a small party with our families and friends to announce our engagement. The party was at the ... Restaurant (see page 16 in our additional documents for the receipt for the evening from the restaurant; see p. 18 for a discussion of the party on Facebook; see p. 22 for an email I sent my parents thanking them for the party; see photos 16 - 24 for pictures taken at the event.)
Others put each piece of proof right where they ask for it.