We generally keep ILL materials until they are due (3-5 weeks most of the time, 45 days for UBorrow items). After that, we'll send them back so that you don't incure any fines.
If you can't pick it up before it's due but you still need the item, consider renewing close to the due date. If renewal is allowed on the item, you won't have to re-request and wait for it to arrive again.
