images disappear from file

Imported images from Photoshop disappear.

I am creating scrolling sheet music demo videos. I import images from photoshop into Premiere, resize them, set the scrolling, manage the scroll rate and transitions, then export to MP4.  The MP4 is fine, but I want to keep my PPro project in case I need to make updates.  I save and close, [and this is where I think the problem is], I delete my images from my desktop.  But then when I re-open the project, it can't find the images.  Is it not embedding the images in the media pane?  Is it forever going to go out to my desktop to look for them?  Even the autosave files don't have images any more.  I'll be making dozens of these videos, and really don't want the space or clutter of all these images on my computer.  Running on a iMac OS 10.15.4 Catalina. Thank you.