Research papers generally build on the work of previous writers and researchers. Whenever you write a paper (or create a website, etc.) and use the material of another source, you must document that source. If you don't, you may be guilty of plagiarism.
Documentation credits the creator of the original work and provides the necessary information for readers to consult the same material.
The citation style you use determines how your citations should be formatted. Turabian and Chicago Style are often used by historians.
Zotero allows the collection of citations to any kind of material and automatically formats bibliographies in almost any style. Zotero also has many search, tagging, and note taking features.
Note that Zotero supplies 300 MB of free storage for PDFs, images, web snapshots, and any other Zotero files. Individual subscriptions for additional storage space are available.