The easiest would be to store all your purchased ReFills in one single folder, which you could name “ReFills”. The ReFills folder could be placed in the “My Documents” folder on your computer, for example.
Do NOT put it in the Reason folder in Applications/Programs or together with the Factory Sound Banks!
Then, in Reason’s internal Browser, browse for the “ReFills” folder and drag it from the Browse List and drop it in the Locations section (the left section of the Browser). This makes Reason automatically look for sounds/samples in all ReFills of that folder. This will minimize the risk of getting a “Missing sounds” alert when you open your Reason songs.