In the correlated storage assignment problem, products are assigned to storage/pick zones in a warehouse to minimize picking effort. Unlike previous work which has focused on minimizing travel distance, our objective is to minimize the number of zones that must be visited to fill the orders. This problem is NP-Complete so heuristic methods are developed to find solutions. We present a Lagrangian relaxation approach as well as several other construction heuristics. Improvement methods discussed include 2-exchanges and cyclic exchanges. We also consider problem variations such as different product sizes, stock splitting, and rewarehousing. Computational results are presented for problems containing up to 10664 products and 40 zones. In particular, our results show that cyclic exchanges are very powerful and can be used to obtain solutions 15% better than those from using popularity, a standard approach.