I am sorry for your loss
Keeping a part of your rabbit seems kinda morbid to me, but well... Keeping a rabbit leg isn't unheard of, I guess.
When I was a kid and one of my animals passed away (I had guinea pigs at the time), my parents used to bury them in the garden of our country house and plant a nice tree, plant or flower over them. That way we thought of them everytime we saw the plant and it was as if part of them was still living through it, somehow. I always thought it was kind of comforting and I will probably do the same for my rabbits when the time comes.