Only your actual project files are automatically managed by the version control system when you are using Visual SourceSafe. Your graphics files and any additional files you add to your project folder manually are not included. If you want to manage these files as well you must add them yourself with the VSS tools, and check them in and out manually when you want to edit them.
This is necessary because these files are not edited by Help+Manual, but with your graphics program or with other editors. These programs won't have any facilities for checking files in and out of your VCS database, so they would not be able to access them directly.
All the files in your Baggage Files section are automatically included in your VCS database because they are an integral part of your project. If you are saving your project in uncompressed XML – which is required for VCS support anyway – there is no restriction on the number and size of files you put in your Baggage. (You should not put too much in the Baggage in compressed, single-file HMXZ projects because that will bloat the single project file.)
Even if you originally reference your graphics files in other folders, the ones in your Baggage Files will always be used if they are there and have matching names. This is because Help+Manual always looks in the Baggage first for any referenced files.
Tip: Adding multiple files to the Baggage
You can add multiple files to the Baggage by selecting Add File and then selecting multiple files in the Open dialog. Use Ctrl+Click, Shift+Click and Ctrl+A to select multiple files there, just as you would in any other Windows dialog.