Data Mapping transforms (.dm files) can be constructed in isolation, but including them in a project has several advantages
Sub Functions can be created and used. Sub functions need to be resolved and this can only be done within the context of a project. Building up a library of sub functions is a good way to boost productivity and simplify the resulting transforms.
Files within a project can be integrated into a source control system (SourceSafe, SVN etc).
Makes them easier to work with and manage.