I think you must be using JMP 15 if you are seeing bookmarks. JMP 15 projects have bookmarks to disk files (and no self-contained files.) Upgrade to 17 if you have the choice. You'll still want to make backups, because all your eggs will be in one basket.
JMP 17 projects can hold JSL files inside the project file.
My mental model for how JMP 17 projects work: A project is a zip file. When you open a contained file, JMP unzips just that member to the $project directory. When you edit a JSL file, and save it, it is saved only to the $project directory. When you save the project, the zip file is rewritten with changed files in the $project directory. JMP knows where the $project dir is, and I let JMP keep it a secret place.
Projects also provide isolated namespaces from the rest of JMP. But all new windows in a project open as tabs within the project. It is a bunch of pros and cons. It is a good development tool if you start a bunch of projects with a bunch of files and don't want to think about a directory for keeping everything organized.
Craige