How do I save multiple variables with an iterated name in Mathematica?

I want to create multiple variables with iterated names in Mathematica, something like this:

Do["f" <> ToString[i] = i*2, {i, 1, 20}]

where I get f1=2, f2=4, f3=6, ... and so on.

I the error:

Set::write: Tag StringJoin in f<>1 is Protected. >>

Any help would be great. Thanks!