When using Drag and Drop in some sequencers the WAV files generated will not be stored with your project.
- Protools: should automatically copy the files to the project. No action required.
- Ableton: does not automatically collect the files. To avoid problems with missing files in the future you may need to use the slightly obscure Collect External Files function. See https://www.ableton.com/en/manual/managing-files-and-sets/#collecting-external-files - we have raised this issue with Ableton.