Yeah I had to double check to for Games with Gold. it's the reason why I don't get PS+ since none of those game are yours to keep if you sub expires. My is to get as many of the free to own Xbox 360 game titles digitally then buy the physical ones as I find them for dirt cheap. I prefer to get physical titles when i can but I won't go out of my way and pay $20 when I have the game now digitally and wait for a bargin bin price drop for $1 to $5 in the possible future.
The only expection to that are the XBLA titles that never got a physical release. I'll keep those on my HDD FOREVER