Work in the UML modeling feature is done in the context of a project. A project is a logical structure that holds all resources required for your work. The UML modeling feature works with the following project types: design and implementation. Each of them includes several project formats. 

It is up to you to define which directories, archives, and files should be included in your project. You can set up project properties when the project is being created, and modify them further, using the Object Inspector.