This guide will show you how to avoid the need for making copies of your music files just so that you can choose exactly which ones to include in the Symphony library.
All you need to know is how to do basic file operations in Windows. (Although I am not sure right now whether you need administrator privileges to use this method.)

(1) Download and install Link Shell Extension[schinagl.priv.at]
This is a generally super-useful tool that you might come to love. It makes use of the NTFS filesystem's innate abilities to create virtual representations of files and folders.

(2) Create/choose a folder wherever you want your Symphony music library to be. You can also create subfolders to make things more orderly if you want, since Symphony will include all of them anyway.
The only limitation is that it needs to be on the same physical storage device, but that doesn't defeat the purpose.

(3) Seek out wherever you might have stored your music. It can be scattered across any number of folders, doesn't matter. Select any music files there that you wish to include in your Symphony library.

(4) Right-click on your selection and from the context menu select "Pick Link Source".

(5) Right-click on or in your created/chosen Symphony music library folder and from the context menu select "Drop As..." and then "Hardlink".

What you have now done is create a kind of second representation of the file, and it should be indicated on its icon as such. You can see that it even has a file size. The source file will have such an indication, too, which is important to understand: The music file now has two identities, meaning it will still exist and not actually be deleted until you delete all of its identities. Windows itself makes use of this for many of its system files which it needs to be in several places at once.

You can right-click such files and select "Properties" and there should be a tab informing you about its link properties.

The other option you have is "Symbolic Link", which works great for folders and across storage media and is like when you create a program shortcut, but Symphony won't recognize those as files, so you have to use hardlinks.

Personally the ability to create symlinks for folders has been invaluable to me for many years. Whenever a program expects files in a certain location that I didn't agree with (e.g. dumping tons of temporary data on my SSD or having a fixed screenshots folder) I would symlink it away and the program would still believe it's actually writing on my SSD, when in fact I am rerouting it to my HDD.

For additional usage info of the tool refer to the linked download page.