Normally it is not aproblem to package linked indd. Sometimes I experienced problems when they have been on remote computers or servers. If this is problematic, I would recommend to export PDF/X-4 and place these files instead of the original INDDs, so the whole package becomes smaller.
Another problem might be, if the linked INDD are from an older or newer version than the file you are packaging. To avoid this I would also recommend to use PDF/X-4 instead.
Copying and Pasting I would not use at all.
Thanks for the reply Willi – I agree, no copying and pasting, its a nightmare. Yeah we're working with files off a server (we've also found that this is problematic for linked files as when our computers disconnect from the server the document 'loses' all the linked files and I have to go through re-linking them. The most annoying thing about this is that when you look at the file info it shows the path and it knows where it is, but it still can't find it, very upsetting but this is a different topic) – also the file has been edited remotely. If the linked files are on a server will this mean we can't package it? Surely there must be a way round this? (when there's no linked .indd files the packaging works just fine, its just the indd files its refusing to package up) The problem with exporting as pdf files and placing them in is that there's about 10 different working indd files we're linking from, all of which are constantly being changed and updated, so it would be a nightmare to have to pdf all of these up every time we go back for a review!
At the moment I experience on Mac OS 10.8.4 a phenomen which could also result in the loss of files when InDesign packages. The files are here, but the Finder is not showing all files. External drives and remote server files are affected most. Is it possible that you have the same problem?