In Visual Studio 2013, I couldn't get "Include in Project" to work when right-clicking on a folder. What did work is expanding the folder, selecting all the files then choosing "Include in Project". It was quite tedious as you have to do each folder one by one (but at least you can do all files in each folder in one go), and it appears to store the file path (you can see this by viewing properties on the file and looking at the "Relative Path" option.)
I am hoping to use this to deploy some data files in a Visual Studio Installer project, and it seems to pick up the included files and preserve their paths.