Those choices you see are project templates/wizards. They help you get started by adjusting the starting settings of the projects they generate. This makes it easier include the proper libraries, have proper output file type, etc. So in short, they just configure the project, they aren't targets.
The "Save Project As..." and "Save Workspace As..." options don't create copy the entire contents of the project, they only copy the project file it self, or the workspace file itself. It is important to remember that CB starts up with its default workspace so if you want a special to create it (as you have already figured out). It is also important to note that a workspace is just an xml file that stores the relative file system path to each of its projects and some other information. Here is how I would layout my work:
My_Files/
My_Work_1/
work.workspace
Console_Proj_1/
Console_Proj_2/
My_Work_2/
work.workspace
Console_Proj_1/
Console_Proj_2/
New_Console_Proj/
So the "My_Work_1" directory is manually created by you to keep your work in. Then you tell CB to create you new projects in the "My_Files/My_Work_1" folder. After you have created more projects and want to save you workspace just use "Save Workspace As..." and save the workspace in the "My_Work_1" folder. Now if you want to keep this set group of work and make some major changes you must manually copy the "My_Work_1" folder. After this if you want to work in your first workspace just open up "My_Work_1/work.workspace" or "My_Work_2/work.workspace" for you new one.