In Cubase SL or SX, when you go to File - New Project, select the type of project to create, and in the folder selection dialog box, click the button Create New Folder, and then name the folder for your project. All audio/fade/other files will be housed in this folder. Be sure to create a new folder for each project, or your audio files for multiple projects will be mixed together in the same folder. While CubaseSX has no problem with this, backing up or deleting a single session will be more of a task.