The best format for saving your video from one project so that it can be used in another Premiere Elements project is DV-AVI. For hi-def video, the format is HDV.
To save your video as a standard-definition DV-AVI, go to Share, Personal Computer and select the AVI output option with the DV preset. When you're ready to mix together these segments open a new project using the DV settings and assemble them on that timeline.
To save your video as a high-definition M2T video, go to Share, Personal Computer and select the MPEG output option with the 1440x1080 MPEG preset. When you're ready to mix together these segments open a new project using the HDV settings and assemble them on that timeline.