What is etiquette around gift receipts? Should they be included wrapped along with the present or stored separately to be retrieved if necessary?
If it matters, the item in question is a pair of gloves.
It should go with the gift, so the recipient does not have to ask you and thus indicate dissatisfaction with your original purchase.
I agree - they make gift receipts special so they don’t have the price on them, so they can be included with the gift. Mind you, once you return it, you’re gonna know what they paid anyway. 
I always send them along. My theory is “If you don’t like what I gave you, by all means, get something you want instead. I’m not the person who has to look at it/wear it/use it, don’t feel bad if I didn’t pick out exactly what you want”.
Don’t get me wrong, I still try to get something the person likes, but if it’s not something they want, for whatever reason, consider it a gift card.
Also, as mentioned above. If you send the receipt along, they can just go and exchange it. If you don’t, there’s a good chance it’ll get buried in a closet, tossed or regifted.
If I’m perfectly happy for them to make an exchange then I put it with the gift. I’ll tape it in a card or to the box so it’s obvious. And for gloves I’d give a receipt, they might not fit.
I usually send them along, just in case. It saves them having to ask for it, and any embarassment that might go along with that.
Thanks for the input.