The question whether one should import or index files and folders in DEVONthink is often asked. The answer is easy: It simply depends on if you want your database to be portable, or not.
Indexing items only creates references in the database that point to the original file. So when you move the file in the file system, the reference breaks and you can still find the document in DEVONthink (because its content is indexed) but when you select it, nothing will be displayed. When you index, make sure not to move or trash the original file. Also, when you copy the database to another computer or USB thumbdrive, the links will break and you will not be able to work with your files.
Importing is technically similar, but first copies the file to a location inside the database package. So, the reference can never break, but the file is not any longer accessible in the file system so easily. Databases with imported documents are portable, you can even safely send them by email to other users that can then use all files stored in them.
Note: The only specialities are text files and Microsoft Word files. They are directly stored in the database structure, Word files are even first converted to RTF. So if you want to keep Word files as they are, index is a good workaround until we introduce a new database structure that does not make this differentiation.