Hi,
I can't rememeber ALL the options but when you do File > Import in Lightroom you get the option From, disk, from device..etc..
O.K
On the next screen, there is a drop down at the top of the Import dialog box, with I think

Three options...
1. Import to catalogue and add as DNG!!!!!!
2. Import to exisiting folder and add to catalogue
3. Import to New folder and create a new catalogue....
Sorry, thats' probably all A%$£e about face...
Anyway, that is where I think its going wrong you need to select either of the other two options - not the DNG one obviously.
I'm not at my PC so i can't verify - I'm sure someone will be along to correct me soon, but thats where it is.
Oh forgot to say! Yes it is in the preferences, but this will be ignored I think if you select the correct file handling on the actual import.
its in this dialogue box:-
http://blogs.oreilly.com/lightroom/2008/02/20/Untitled-1.jpg You want one of the OTHER two options.