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Set up analytics, and then there's a button to integrate webmaster tools so that it pulls that data in automatically. It's not perfect, but it helps.
You're also better off downloading your webmaster tools keyword data every 90 days, because they don't save it forever.
If you're getting referral traffic from other sites, it's also important to use the google "url builder" tool to tag your different sources. That way, you know exactly whether a particular banner ad, text link, or whatever is working to drive traffic.
BTW, don't forget to set up goals in google analytics. You want to know what traffic is converting... not just where it's all coming from.
Google Conversion XL (I can't post links since I just joined.) That blog has more info than you'd care to know about all this stuff.
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