Canadian Guy,
One concept that is hard for FCP beginners to comprehend is that the media you capture is not “in” FCP. Rather FCP is an interface used to capture, play and edit this media. The media is saved to your hard drive in the space you specfied when you set your capture scratch disk. FCP merely references this location when playing clips. Project files are typically small, and should always be archived when a project is finished, because of their size and importance. Hope that helps!
dg