On Linux I use **[Xournal][1]** for this, which saves annotations etc. into an external file in XML format – and can be configured to automatically open that file along with the main PDF. Xournal is also available for Windows from the linked page.

[![Xournal][2]][3]  
<sup>*Xournal* screenshot (click to enlarge)</sup>

The XML format used by Xournal has another advantage: You can always edit that directly to fix some markers, be it text corrections or aligning the positions.

I'm using *Xournal* for over a year on Linux, and I'm quite satisfied. Only doing "light stuff" with it, though – and of course it takes a little "getting used to".

From their [manual][4]: "*A journal is composed of one or more pages. Each page consists of a background and one or more layers stacked on top of the background. All drawing operations take place within a single layer. Xournal can be used to annotate PDF files, by loading the pages of a PDF file as backgrounds for a journal. By default, the PDF file used to generate the backgrounds will not be saved with the journal; instead, the journal file will contain a reference to the absolute location of this file.*"


  [1]: http://xournal.sourceforge.net/
  [2]: https://i.sstatic.net/nstCRm.png
  [3]: https://i.sstatic.net/nstCR.png
  [4]: http://xournal.sourceforge.net/manual.html#pdfannotate