Under the File menu is the Project Archive selection. In it there are two options depending on your preferences for only the portions of the assets used or all of them. My suggestion is you read the instructions for that function in the Help menu.
Another option that I use is to create a folder for a project. I put copies of the original media in it as well as the project files. The entire project is contained in that folder. Then I use conventional backup procedures to move the entire folder to where I want to store it.