I can't duplicate this. When I open (or 'Add Existing') HTML files in the latest version of Sigil, all properly linked images (as well as css) get added to the resulting epub automatically.
NOTE: they have to be urls that contain src paths to the images that are
relative to the html file in question (ex: src="../images/image001.jpg"). Images that use absolute file-path urls (ex: src="file:///C:/users/blah/desktop/image001.jpg") will not get imported into Sigil upon opening/importing (even though the image can be seen in the Preview Window). Perhaps that's what's going on? Those are recognized as external urls (like a link to an external website in an ebook) and are not processed/adjusted by Sigil.
The bottom line is: if you can't see the image file in the 'Images' folder of Sigil's Book Browser, then the image isn't a part of the epub (and won't be saved).
@KevinH: any way we could prevent Book View/Preview from displaying images that contain protocol prefixes (
http://, or file:///)? It would be easier to know that something is wrong if these linked-in, external images didn't display. Or do they need to display for EPUB spec-compliance of some kind?