I did some testing with some music files and made an interesting discovery. My Music\Zune, is always a monitored folder, regardless of how I have the software configured. This includes any subfolders in the Zune folder. I don't have any videos on my device right now, but I'm assuming it will create a My Videos\Zune folder.
Anyway, here's what you can try.
1) Turn off all monitored folders. I left a folder for podcasts, since by their very nature, they're best autosynced, but that's it.
2) Sync using drag and drop. Go to My Device/Music (or videos) and drop the files in there to get them to your Zune.
3) Leave the entries in your "My collection" section. This looks like it's just a database, so it shouldn't take up too much hard drive space. If you delete an entry from here, it will delete it from your Zune.
4) You can delete the files from your PC hard drive if you want, as long as it's not in a My Music\Zune subfolder.
Using this method, I can manually copy files to my Zune, then move them to wherever I want on my hard drive without deleting them on the Zune. Let me know if this works for you.