At virtually any screen where you can add Media to FTM, whether it is the media screen of the family page, the person page, a fact, or a citation - you are given a choice of whether to link to that media item, wherever it is on your hard disk - or to ADD or ATTACH it - which means for FTM to make a copy and place it in the FTM media folder.
ADD / ATTACH - copies media and places copy in FTM Media folder.
LINK - provides link to media elsewhere on your hard drive.
If you have linked to media items outside of the FTM media folder, just copying as a backup the *.ftm file and the FTM media folder will omit the linked items - making their links basically dead. (Unless you copy / backup your whole Documents folder in one operation.)
PS - once an item is in your media folder, you can then start linking to that media item. For example, if you have a photo of five people in your FTM database in your Pictures folder - you could ADD the photo to your FTM Media folder for the first item; then link the next four people to the new copy in your FTM Media Folder.