The best way to store the caulk depends on the kind of caulk you're storing.
I've found that for latex caulks which require evaporation of water to "dry", the best way to store them is with the tip submerged in oil. Just cut the top off an empty one gallon milk jug and pour in a quart of new or used engine oil. When you want to store your caulk, just squeeze some out of the nozzle than immediately put the tub nozzle down in the oil bath. With the end of the nozzle submerged in oil, water can't evaporate from the caulk at the end of the nozzle, and so you have an air tight seal.
For products that cure by a chemical reaction, like LePage's PL Premium construction adhesive, the best way to store them is in the freezer. The cold temperatures slow the chemical reaction to a snail's pace, and that prevents the caulk in the nozzle from curing.