The settings are for the application and not per library.
Go to Final Cut Pro->Settings->Import and make the change.
This won't affect files that have already been copied, but you can easily fix that.
I assume that you have the files somewhere else on your drive.
1) Change the library media location to a temporary folder on the same drive as your library:
select the library in the browser, open the Inspector and click "Modify Settings" next to "Storage Locations".
Choose a folder for the media, instead of "in library".
2) Consolidate: click the "Consolidate" button next to "Media" in the Inspector
This will effectively move all the media that was inside the library to the selected folder.
Note that, at this point, you should still have two copies of the media: the one that you had wished to use with "leave in place", and the one that had been copied to the library, but now resides in a separate folder.
3) **** Delete the temporary folder
Note that all the media in the library will appear as offline now.
4) Relink to the desired location. If the files are all in a same place, this can be done in a single step.