How to keep files from disappearing when using Dynamic link to AE in PremProCS4?

Question

I am at my wits end here and hope someone can offer a solution.  I use Dynamic Link in PremProCS4 to link a clip in my timeline to AfterEffects.  I follow the instructions in my book and everytime I close my files and reopen..I loose the clip along with the effects...I get the place card instead.  Here are the steps I do as per the Adobe Classroom in a Book Explains:
I double click on my .MTS file in the Project Board so it comes up on my Source Screen.
I take select the part of the clip I wish to use in my timeline and drag it to the appropriate spot on a video layer.
I then right click the "clip" and select "Replace With After Effects Comp"
I then name the new file.  name or whatever.aep
It opens in AE
I then apply two simple effects... keying and a cartooning effect I use from NewBlue Cartooner.
As instructed I then go directly back to PremPro and do a "render" by pressing the Enter Key.  This does not work since I only get a yellow bar above the clip instead of a red on???
So then I save the PremPro project and close it then go to the AE project, save and close it.
When I reopen PremPro the file has a place card in it and in AE it says I am missing a file.
I have tried many different ways to do this process including re-importing the .MTS file.
I can close PremPro and reopen it and all is the same as long as I don't close the AfterEffects project.  Once AE is closed it looses the file.  On a note here I keep all my computer source files in the same place and it never changes plus they are in my PPro Project as well.  I never change the names so this isn't this reason.
Is there a tried and true method to select a piece of clip in the video layer in Prem Pro and add effects from AE and not have it misplace the files?
Thanks  Kate

Answer 1

Hi Curt, and thank you for taking the time to respond.
Its odd how I've been trying to figure this one out for a long time and I tried your suggestion but it didn't make any difference..darn.
In the AE forum they say this is quite common and no one really knows why...double darn.
So I went back with a fresh mind this morning and tried something else..and it worked...so far anyway.
So far I figured it out... I guess I just needed to ask the question and write it all out to help get my brain working in the right direction: 
Since the normal process to do this doesn't work for me ..and apparently many others..here is the solution for those of you having similar issues.
In PremPro select the desired clip you wish to place effects on
Rename it and save
R click and "Replace with AE composition"
Name new file
You will see three files pop up in AE in the project panel.
The original source clip .. in my case.. shows an icon that lets me know it isn't the true file.
Highlight this file with a click and then go Ctrl H (for PCs)
The group of computer source clips you use for your project will come up.. double click on the original clip you had imported into your PPro project.
The source file icon in AE will change to an icon that denotes the true file...save
Go to your still open Ppro project and make sure it carried the effects over..save.
Now you can save and close the AE project.
So for this works for me today and I hope this helps anyone else dealing with a similar issue.
Thanks.