Good advice above, but here's a little more:
1-even with the preference set to automatically copy files on import, I have still had this issue once or twice.
2-one method to help avoid this is to(BEFORE importing/dragging into the session), copy the files into the session folder and import/drag from there. Doing this means that you(and the session) know exactly where the audio came from.
Its up to you whether you drop the files in the main session folder or into the sessions' Audio Files folder as either works(a really full Audio Files folder can make it hard to locate a few files for import). Using the Import>Audio Files method is generally safer than dragging files from other locations(especially if you are dragging from an external drive that will be disconnected)