You might try using “Collect Files..” under the File menu. If you have the sequences highlighted that you want to export when you choose Collect files, one of the options is to just collect everything for the selected comps. Make sure you “Reduce Project” and AE will make a new project with just the stuff needed for your selected comps. If you have a lot of media it’s best to do this during lunch or something, because AE will actually have to duplicate all of the media you want to export.
I’m sure the help section will do a much better job explaingin this than I just did…