Cmd+Shift+Option. (I believe that's the correct key combination; I don't have a Mac in front of me at the moment.) You should then get a dialogue box that lets you browse for the file. At the bottom of the dialogue box is a check box which, if checked, will cause the file to be copied rather than moved. This is true for any file you add to your project.
Please note that your app's bundle is read-only. So if you want to write to the database, you need to copy the file to your app's document folder when the app launches.