They will not keep it with them at this initial stage. They only affix a stamp Qualified or Not Qualified with the Course/Batch details on back of Degree or Dmc and give it back to you.

But they keep all original documents with them at the time of Final Board Interview till the announcement of Final Merit List & joining of candidates.

For initial test, if you are living far away from your test centre, its better you keep all original documents (Matric to Masters Degrees, Experience certificates, Domicile ) with you in case of any uncertain situation at the test centre. However, generally they just check the Terminal Degree on the basis of which you are applying, like i mentioned earlier.