Exporting layers to a new file in QGIS?

I would guess your are looking for the plugin QConsolidate in the official repository which enables you to make a copy of nearly all layers (at least rasterdata and shapefiles) and the project to a new directory.

It's useful to pack your data onto an usbdrive for convient datatransfer or archiving. Be aware that images/pictures/other resources only used in the composer won't be copied to the new directory