When you copy a RealTrack to the Audio track it takes it out of RAM and is now a wav file Utility #1.wav Utility #2.wav or whatever name you name the track My Life #4.wav
But if you only want your tracks saved inside the SGU as data and have no audio files attached to the song.SGU then it won't.

The way to do all of this would be as suggested here
https://www.pgmusic.com/forums/ubbthreads.php?ubb=showflat&Number=625839#Post625839

and here https://www.pgmusic.com/forums/ubbthreads.php?ubb=showflat&Number=624010

This way it will all be instant and play direct from the source files,
and all the track information is saved as data with a small file size like an SGU.