The trick to having them all stay in one project file when they’re created is to keep the same AE project open in the background when you are creating them, so Adobe goes back to that same project each time.
I think the only way to fix that AFTER they’ve been created is to import all the AE projects into one master AE project, then in Premiere go relink to that new project. I haven’t tried this, but I THINK you can highlight them all and relink the first one and it will figure out the rest. Kinda like when you move media and only have to relink one for Adobe to figure out the locations of the others. That’s not a quick fix but even if you have several project files this should only take a few minutes.