You don't need to move them. Almost all burning/backup software allows you to specify various files from anywhere on your hard drives so there's no need for them all to be in the same folder. However, once you've backed them up this way and restored at some later date, Vegas will go looking for them in their original locations. It's easy enough, though somewhat annoying, to tell Vegas where each file is now while opening the project.

What you might want to do is impose some more organization before you start projects. Typically my projects each get a new dedicated folder. All files related to that project are put into that folder. The only execptions are files that get used for many projects. These files are in a separate common folder. This way, when backing up, i only have one folder to worry about, and all files in that folder are part of the project. The files in the common folder aren't included when backing up because they have already been backed up in their folder.

The dedicated folder approach makes it a lot easier to manage, backup, and restore your projects. When restoring, it's a snap to copy the files back to the single folder they used to be in. Vegas therefore won't have to go looking for them. If on the off chance you restore them to a different folder then you only need tell Vegas where to find the first file and it's smart enough to find all the rest. It also makes hard drive housecleaning easier. When you're done with a project delete it's folder. All files (except the common files used by many projects) are deleted in one swoop, and no files needed by other projects are deleted.