If the census records are being downloaded from the two big websites then I think the default file type is jpg, at least that's what I normally end up with.
If the files will generally just sit there being viewed from time to time, and maybe having a clip of one being copied then there is no issue with loss of quality with jpgs, especially if the software you are using alows you to control the quality and compression settings. However, be aware that some software decides what's best for you and can apply significant quality reduction when you save an image, just because it thinks a small file size will be more convenient for you to email
PDF is a great format for text documents as it allows formatted text to be shared and stored without the need to use the same word processing software in future. If I want to keep a copy of a webpage for future reference my preference is to create a pdf version using a free PDF writing programme.
But on the whole, if you have jpgs to start with it is best to keep them as jpgs. Embedding them into other documents is probably going to create problems for you down the line. Also converting a jpg into a tiff for example won't add quality back to the image, you'll just be storing an already (marginally) reduced quality image in a less space efficient file format.
If you are expecting to do a lot of work with images it is a good idea to look on a site like wikipedia to understand the different file types and the advantages and disadvantages of each. You don't need to do any in-depth study, just enough to appreciate how image compression works and whether this is something you want or not.
The key thing though is to make sure you use filenames which have some kind of meaning - for example I save images of census records with the PRO reference as the filename. E.g. RG11.1234.21.42.jpg rather than any filename automatically generated by the source. This way it is easy to see if you already have a copy of that page rather than ending up with duplicates. Another approach (the one I use for baptisms, marriages and burials) is to use the individual's reference number (if your software allocates references to people) plus an indicator of the type of record e.g. Indi32_Bapm.jpg
For me a significant factor is going to be the ability to still view the files in years to come, so it is best to avoid formats which may not last the test of time. Given the vast quantity of pdf and jpg files that exist in the world already I think it is safe to say they will be the formats (like vinyl LPs!) which will still be available even after more modern alternatives have come and gone.
