I looked a bit more at the petakillsanimals.com website. They have several pages of interesting information, and this page in particular is about the euthanasia.

http://www.petakillsanimals.com/petaKillsAnimals.cfm

On its 2002 federal income-tax return, PETA claimed a $9,370 write-off for a giant walk-in freezer, the kind most people use as a meat locker or for ice-cream storage. But animal-rights activists don't eat meat or dairy foods. So far, the group hasn't confirmed the obvious -- that it's using the appliance to store the bodies of its victims.

In 2000, when the Associated Press first noted PETA's Kervorkian-esque tendencies, PETA president Ingrid Newkirk complained that actually taking care of animals costs more than killing them. "We could become a no-kill shelter immediately," she admitted.
Under the chart with the numbers on it, you can download pictures of the actual documents filled out by the president (it's a PDF file [Adobe]).