I imported some .kmz files to QGIS as vector layers. Now, I want to keep this data but remove the files : I want the data to be stored (baked) in the qgis file itself.
How can I do that ?
You can't save data inside of the QGIS project file. Using QGIS, project and data are always stored separately.
What you can do, however, is to save the project plus data file to the same Geopackage file. Geopackage works like a container format and can store everything in one single file that can be saved out of QGIS.
This can be handy when you want to share a project with local date with someone else. However, when working on your own machine, I would recommend to keep data and project files separately.