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What you're doing should be correct. It will still show a preview of the PDF even if it is linked if that's what might be causing confusion. Have you confirmed that there is a copy of the PDF saved in the OmniOutliner file? If you view the OmniOutliner file in Finder, right-click on it and select Show Package Contents, you will see a contents.xml and any attachments that are copied into the file. If the PDF is not there, it was linked instead of copied.