@stijill2 – "Saving as CS4 or later" is writing an IDML file of your InDesign file. IDML is a special XML where no "preview" representations of placed images are stored. When IDML is opened in InDesign the layout is composed anew according to the XML. And the previews of the images are rendered, if the original images are visible to InDesign or relinked.
If you are using IDML for exchanging files between different versions of InDesign (CS4 and above), you can expect various changes. It depends on the features you are using. Mainly look for composition changes in text.
Sending a PDF along with the IDML would be always a good idea.
Even better: do not use CC, but CS6, if your client is using CS6.
If you are on Creative Cloud, CS6 is also available at no additional cost.
I looked at it when I got to their office and I guess it doesn't save any previews of the files.
That's correct. Did you send the links along, too? ID will rebuild the previews if it can find the links, but without them the file is pretty useless for anyting but text edits.
As Uwe says, use CS6 and avoid all this.
If you don't have CS6 installed, sign into creative.adobe.com and click on the download center link. Scroll to InDesign and click on it. When you reach the InDesign page, scroll down to the version section and choose CS6. That will change the Download button to Download CS6.
They have the files, but even if they didn't It's nice to still see the images as a rough preview.
If they relink to the images folder, they will, but this will probably result in broken links for you when they return the file unless they package. All in all, this is not a good workflow.