No, do not lose your media files, that will cause an unnecessary amount of headaches. If all of your media was IMPORTED in the first place and you want to BATCH IMPORT, that is a different story. Avid Media files are located in the “Avid Mediafiles> MXF > 1” folder.
If you want to conserve space but still backup, you can use the CONSOLIDATE function, which means you take only the media used in your sequence, with handles of your choosing.