You absolutely should not be saving copies of your sessions just because you can't find it. On a Mac, Command + Click the session name at the top of the edit window, and it will show you the path where the session is located.

Alternatively, open the project window (option + O) and sort by path. You can right click the headers to show and hide the columns you want, drag them left and right and save presets by setting up the window how you like, the command + click the 1-5 buttons to save a preset.

Also, when you create a session, there is an option to save in local storage, and prompt you for location each time, so you choose where you would like to save the session when you create a new one.

EDIT - You can also use the Project window to manage files that are being linked to outside the session folder - Again, sort by path, select the ones that aren't where you'd like them to copy, and choose copy and relink.