in CS6 , AI allows you to package associated files. This, however is NOT a feature of CS4. There may be plugins or helper apps that my do pre-flighting for CS4's AI but I know of none.
It really makes perfect sense, AI s for vector drawings, not for layout and tho AI does allows for multiple ART BOARDS, it s not a true multi-page feature. Again Illustrator is for illustrating, so it probably wasn't a priority for Adobe to include "file packaging" as a native feature.
Also, mixing vector art and illustration is a bit dangerous, not yon your part perhaps.. but in the long run it can lead to nightmarish scenarios. Many combined files have passed 4th or 5th hand by my desktop. Mixed vector/raster art intended for at most 8.5" X 11" at passable resolution.. the original designer's/source file's existence long forgotten and the client intends it for use on a billboard. :/ As Helen Lovejoy would have said .. "would someone please think of the children!!!"
THAT BEGIN SAID, here as some tips that might solve your issue:
1) using PLACE or dragging and dropping from the desk top do the same thing.
2) You can EMBED ( WINDOW> LINKS :: EMBED IMAGE) your raster images in to the AI file and do a SAVE AS(!!!!)
* Your final AI file will be larger, potentially MUCH larger.
* You wont be able to simply Update Links, as the link to the file is broken by this procedure
* You can select all images at one and embed them all with one click!
* If you do need to make an alteration you can relink images back to their source files! But most time it easier just to keep the origial linked images file , and SAVE AS utilizing the procedure mentioned above.
Hope that helps