I keep all the files in one folder (there's more files in that folder, but I don't know if that's a problem?). Calibre creates a zip file when I import.
I've just checked: I saved the files in calibre to disk after importing the 'master' file, and got a zip archive with these files - see attached screen shot.
It's the 'master' file and the files it links to, And they look okay in a text editor. Also tried one more time to convert to lrf and send the lrf to device, just in case. Still only the first story in the list of three (
<a href="every_year_again_its_christmas.html">story one</a>) and no toc.