Marta Quinlan says that if you need to make an archive set of drawings, use the Sheet Set Manager. Click on the name of the sheet set and then right-click and choose the archive option. AutoCAD gathers the data and drawings used in the entire sheet set. An "Archive a Sheet Set" dialog box will open and you can uncheck drawings and files not needed for your archive. Three tabs at the top allow you to view the files and drawings differently and the Files Table tab allows you to see the size. The Modify Archive Setup tab is similar to the E-transmit Modify tab. It allows you to pick the type of archive, (ZIP or EXE), destination folder, and the version of AutoCAD in which you want to save the drawings. Saving all files in one folder, including fonts, etc., is also available in the Archive Options area. Once you are done selecting options and setting the version and destination, pick OK and you are done. Your originals remain intact for further editing if required, and you have saved an archive set should you need to return to those drawings.

Notes from Cadalyst Tip Patrol:  Great tip.  There are several features about this ability that make it so useful.  One is that it leaves your working files intact and untouched.  The other is that it automatically collects every piece of data that you need for your set. 
Tested in AutoCAD 2009