Saving imported audio tracks


I have migrated from Pro 9.5 to Pro 10. I import audio files (.wav) from my
Zoom using an SD card. In 9.5 when creating a new project I ticked ‘prompt
for project location’ and specified a folder for the project. This worked
perfectly by keeping a copy of the SD audio files in the new folder so that
I could delete the files on the SD card.

Now in Cubase Pro 10 I have ticked the same ‘prompt’ box but the audio
files remain only on the SD card, they are not being saved in the project
folder, so that without the SD card connected the saved cpr files will not
load because of ‘missing files.’

What am I doing wrong please?