By defalut is SDK code in examples linked into project. Unfortunately there is no GUI config option, but this settings can be changed in ProcessorExpert.pe file - located in project's root folder.
First of all - backup your project. Locate SDK folder in project and delete all content. When done - close your project.
Open ProcessorExpert.pe file located in project's root folder in any text editor (it is XML file), locate <ProjectStaticFilesGenerationModule> tag and change value from LINKED to STANDALONE:
Save changes and open again your project in S32DS. Generate processor expert code:
Now - all SDK code is copied into workspace: