If you have an Outlook.com email address, Microsoft is rolling out a new feature that allows you to save attachments directly to OneDrive; not everyone has it yet but hopefully should soon.
As you can see in the images in this post, by clicking on an attachment, you now have three options: View Online, Save to OneDrive, or Download. If you click the OneDrive option, it will save the document to your cloud storage which is quite handy as then you can access that document anywhere you have a OneDrive app installed.