It's an option on the 'Song / Export Mixdown' page. Unchecked, the mixdown is exported into the mixdowns folder. Checked, the mixdown is also re-imported as a track into the project (and, significantly, in sync). I find this useful when returning to old projects I haven't worked on for some time. Firstly everything is stored in one place, secondly I can immediately compare any adjustments I make to my previous mix(es).