I don't think that functionality has yet been introduced.
If it is any help you can try http://www.mediasweeper.com.au
It has the dual role of either removing unused files from your session folder or gathering all the used files and copying them to another user selectable folder.
Works for AA3, (ses & xml) CS5, Reaper & Vegas sessions
Seriously? 2013 and Adobe haven't impleneted this yet?
Adobe members even USE their software? If they really does they should know already how usefull this feature is, I refuse to believe they have even done a huge proyect with Adobe Audition and never been in the necesity to collect all their files in the same place.
Please note that the original question was at the beginning of 2012. Yes it is 2013 now and Audition is two versions further down the line. And certainly it is there is CS 6 and the latest version Audition CC.
File > Export > Session
Select 'Save copies of associated files'