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Here's my opinion.
You want to import ALL of your photographs into Lr. You don't have to do them all at once, you can break them up into imports of a folder at a time, or several folders at a time, whatever works for you.
Why do I say import ALL (in capital letters)? Because LR becomes the tool by which you find your photos. You no longer look in your operating system (Windows Explorer or Mac Finder) to find the photos. If all of your photos are imported into LR, you know to use LR to find your photos. If some are in Lightroom and some aren't, then you don't know which tool to use, and human memory doesn't work so well on thousands and thousands of photos.
How do you organize? You can import using the ADD option, which leaves the photos in their existing folders. You add keywords and other metadata (captions, titles, GPS Locations, etc.) as needed. Then, once this task is complete, you use the keywords and other metadata to do your searching. You no longer use folders as the tool by which you find your photos. NOTE: this organization won't happen overnight, there will be a period of time where you will have to still use the folders to find your photos, but the goal ought to be that you eventually don't use folders to find your photos.
Another problem I'm having trouble figuring out is; how do you know whether a photograph is imported into light room or if it's just looking at a preview of it off of your hard drive.
If you try to import the photo into Lightroom, and it has been previously imported, the default operation of LR will not allow you to import it again. That's how you know. Ideally, you can work in a thorough fashion through your folders, and import them folder by folder so the issue of importing photos again won't come up anyway. Also, you can search for a photo by file name in Lightroom if you're not sure if it has previously been imported.
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I agree with DJ_Paige. One of the best uses of LR is for keeping track of your photos and organizing them using LR. Lightroom is similar to using a lightbox with traditional negatives or slides, only you can view them all or by groups any way you want.
As for organization, every person has a different style. I am a travel/nature photographer so I organize by region. Also because I travel certain places certain years I organize by date. Wedding photographers often organize by the couple's name, or shoot name. The beauty of LR is that you can organize the way you want.
With that thought in mind, I agree with DJ_Paige and suggest you import using the ADD option leaving your photo files in their existing folders. However, I would suggest you plan out HOW you will organize your images before you import anything. In other words decide how you will group your images - by year, date, location, names, etc. I actually suggest drawing a diagram on paper!
And if your image files are already grouped by folders with an organization, then be sure that your folders are named appropriately, the way you want them (or rename them before importing). Then you can ADD them keeping that organization.
Unlike DJ_Paige I do keep my photo files organized by folders, grouping them as I said by year and location, such as 2016_Paris, or 201609Paris (for sept 2016 in Paris). So the folders have names that are logical to me.
You can also choose to rename the photo files as you import them, so for example, I would have a photo file named 201609_Paris_81945.dng (or CR2) Note: I usually import and change to DNG during the import but that is not necessary as you can change all the photo files at any time to dng or not at all, depending what you want.
And yes, if possible do add keywords to your images - however you can do this anytime. If you have a group of images with pine trees together in a folder, do bring them in all at once and add the keyword "pine trees" during import. You can add more and more specific keywords later when reviewing them. For example you can select all the ones with pine trees and houses, and add the keyword "houses," and all the ones with pine trees and sea shore, and add the keyword "seashore" after they are all imported and you are reviewing them.Keywords do make finding images easier. So you could then just search all your images later for those with pine trees and houses, and only those would appear. The metadata such as date and time of capture and if you had gps coordinates in an image, those will be automatically imported with the file.
As for you last question, Lightroom cannot show you a preview if your file is not imported into the catalog. So if you see the preview the file has been imported. LR creates previews (whatever size preview you decide in the preferences) as you import the photo files. When you choose to import using the ADD option, the photo files do not move from their current location. The information (data) about the photo file is "imported" into LR and creates a preview for you (or a smart preview if you choose that option.) If you choose the Move, Copy, or Copy as DNG options when you import, you also have to designate a location for LR to physically move the photo files to when it imports the the information about the photo (the data) into the catalog.
Hope that helps clarify even more what DJ_Paige had said!
Thanks, that helps.