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Hello Adobe, please add an option to save the images in Illustrator and not have to search for them
You can use the Options when placing the image and uncheck Link.
Or when already placed, use the Embed option in the Control, Properties or Links panel.
In addition to @Ton Frederiks 's answer,, you can also find all your linked files in a neat little panel called "links" (Window>link to open it)
where you'll be able to embed, sync, and whatnot from a single window...