You can store your images anywhere. When you add them to the project, you'll have the option to either link to the original files or copy the images to the project folder.
Choosing retina and non-retina images is handled automatically by the operating system. Simply give the retina versions of the images the @2x suffix. When you call [UIImage imageNamed:@"my_image.png"];
on a retina device, it will use the retina version (my_image@2x.png).
Yes, when you download the app, it will include the image assets. If you right click the app bundle and select "show package contents," you'll see all of an app's image assets.
Also, see this answer.