It’s advisable to keep source files for the assets (ex.: .ps, .max, .blend) near the final ones you actually want Unity to import because it’s a lot easier to keep things organized this way and work with Version Control Systems. Folks will tell you to keep a mirror structure outside of assets folder, which is the exact opposite.

So here’s the trick: Unity doesn’t import files and folders that are hidden or have the name starting with a dot. Naming files with a starting dot is better in my opinion. Git for example doesn’t store the hidden attribute, and other VCSes probably don’t as well.

You can do something like this:

.monkey.max         <- source file, not imported
monkey.fbx          <- imported normally
.monkey_diffuse.psd <- source file, not imported
monkey_diffuse.png  <- imported normally

or

monkey.fbx         <- imported normally
monkey_diffuse.png <- imported normally
.source            <- entire folder not imported
.source/monkey.max
.source/monkey_diffuse.psd

The second structure can be better with many files. Windows explorer won’t let you name a directory this way though (THANK YOU MICROSOFT!). Create or rename it and write “.source.” (with final dot added), it will name it “.source” stripping the final dot. Tested on Windows 7, don’t ask me why it’s like this.

Hopefully it will save you some headaches.