By default, DEVONthink imports files which does copy them into the database. This creates a self-contained database that can easily be backed up or transported as a single unit. Whether to delete the originals is up to you, but many people choose not to keep the external copies.
Alternatively, you can index external files and folders which just adds references for them to your databases. In this case you must not move or delete the files outside of DEVONthink or you'll break the references.