Hey everybody, on wp8, if you receive a file of a format which isn't supported natively by the OS (.docx, .pptx, .xlsx, .mp3, .jpg are native, with some more audio and image formats), then those files dont get stored ANYWHERE ! But, when you receive that file, you should open it immediately with some app, and then it is up to the app to store it. For example adobe reader will store incoming pdf once it opens them in its isolated storage.
I use pocket file manager. Whenever i get a file which is non-native, i open it with PFM and then it stores it in its internal memory. Then i can easily cut it and paste it in my phone storage/sd card. Hope this helps !
(p.s. No way to recieve multiple non-native files simultaneously and to save them all. Zip them before receiving)