Your proj. files can be kept anywhere really. But what you should do is keep them on an internal drive and not on the your media drives.
Back up proj. always.
The idea is if you lost your media/drives you will always have your proj. file(s) in which to restore your projects with.
I believe Walter had said keep them on you Mac HD, with the OS/Apps/Etc.
Keeping you Proj. files and Media on the same drive is just asking for trouble from which there is no recovery.
Chris Tompkins
Video Atlanta LLC