Load your project and then do a Save As and point it to a directory you make. Be sure to check the box that says “save media with project”. This will save everything in your video no matter where it was to begin with. It will save it all to the one directory you specify.
Be careful not to save it more than once to that directory. If you do it will rename every clip and you’ll find you have two of everything which can be a mess. If you want to save as again, create another directory and save it there.