Two important things to note:
1. Not all data will automatically be stored in the gdb in your project. If you import an mxd into a project, the data will remain where it is. If you have data you want to use in various projects/aprxs, you can always store them elsewhere. There is just the option to save the data within the project gdb.
2. Shapefiles are not able to be stored within a gdb, so if you work with that format, it will always be saved outside your project gdb.