Nope, I have all my Slickedit project files in a completely separate directory, but on the same drive as my source tree. Then, for my wildcards, I specify the full path. So, my working directory is "\<project_name>\src", and my project files are:
"\<project_name>\src\*.cpp"
"\<project_name>\src\*.h"
etc.
Works a treat for me, in my setup, at least...