Copy Project Sounds To...
You can copy your project and all the sounds and/or recordings used in your project to a single folder.  This is handy for organizing your projects and backing them up! In many cases, you use sounds from various folders on your computer.

To copy your project and its sounds, make sure to save it and then click the File menu followed by clicking Copy Project Sounds To... Pick a folder to copy your project and sounds to and click OK.

At the end of the copy, the software will ask you if you want to load the freshly copied project.  If you click Yes, all changes will be made to the new copied project.

Tips
Choose a folder that does not have any other sounds or audio in it.  In this way, you know exactly which sounds are in the project.

If you are copying a newer version of project to a folder, make sure to clear or clean the folder of all audio files and project files before transferring.  Otherwise, you may end up with duplicate sounds.  (The reason duplicates might occur is because  files in a project can have the same file name and may conflict with each other when moved to a single folder.)

If a sound that is in the project is already in the destination folder, it just skips it, making it easy to update a project that is already in the destination folder.

Backing Up Your Project And Sounds To CD or DVD
You can burn all the sounds and project file to a blank CD or DVD by copying it to a new folder and then burning the contents of that folder in your file burning software.  

If you have a DLA (Drive Letter Access) burning solution, make sure to format the CD first and then you should be able to transfer directly to a blank CDR.  (Select the CD Recorder when choosing a folder to transfer to.)

Otherwise, if you have Window's XP or Vista, you can put in a blank CD or DVD and then drag the files on to the CD recorder in My Computer.  Then right click on the CD recorder and choose Write These Files To CD.