importing wav files into pro tools 10

[Nick Gawronski]

Hi, I downloaded all of Kevin Reeves's remix wavs and am trying to 
import them into pro tools 10 where the files are coppied into the 
session audio files folder and can get as far as after I have all of 
them selected and import them they appear in the track list but 
regardless of what button I press they all stay in the downloads folder 
and don't go into the session's folder where I want them to go.  Anyone 
with pro tools 10 can you help me out please?  What do I need to do 
after selecting all tracks or all wav files to have pro tools 10.1 place 
the new files into the audio files folder and not just link them to the 
session?  Nick Gawronski