A couple of things:
Are you just editing the project field, or actually dragging the action to the project? If you drag it, it will go. If you edit the project field, it will only go when you do a clean up operation, either by pressing the clean up button in the toolbar, using Edit→Clean Up, cmd-K, or switching to a different view. Even then, it may not go, depending on your preference settings. The Data panel in the OmniFocus preferences has settings which control the clean up behavior from the Inbox. If you have that set to require both a project and a context, actions will stay put in the Inbox until they have both (my preference). If you have it set to require a context, setting a project will not be sufficient, either.
To sum up: unless you actually drag the actions to a project, they don't go until you do a clean up, and then only if they have all the fields set that you specified. This allows you greater convenience when assembling items in the Inbox into groups or projects, because the pieces don't disappear as soon as you change them.