In Cubase go to the audio pool, Panels>Audio Pool and go to the File submenu. There are two options Prepare Archive and Prepare Master. Prepare Archive will take all of the files for the song and place them in a new folder with the song file. Prepare Master will place all of the files into a new folder and uses only the bits of the audio file used in the song.

In Nuendo the Prepare archive function can be found under the pool menu.