I was thinking about this the other day as i got a notice (as I do every year, and I keep them) about having to submit a tax return.
I have a huge folder of coding notices etc.
HMRC seem to suggest you only need to keep the bits for a year (if you file in time etc.):
If you send in your tax return on or before 31 January
If you send in your tax return on or before the normal filing deadline of 31 January, you must keep your records for a further year after this deadline. This applies to both online and paper tax returns.
For example, for a 2010-11 tax return filed on or before 31 January 2012, you must keep your records until 31 January 2013.
However, you may need to keep them longer if a check has already been started - in this case you'll need to keep your records until HMRC writes and tells you they have finished the check.
http://www.direct.gov.uk/en/MoneyTaxAndBenefits/Taxes/SelfAssessmentYourTaxReturn/DG_10014923