Yep, you will be saving all the morphs along with the newly created .cr2 file.  Just give it a unique name you will remember, do not, by any means, overwritten your original. 

The beauty of this saving morphs with cr2 method is you can use the new model in 3rd party applications to generate new morphs for clothing (i.e., Morphing Clothes) or create new clothing off this new model template.

And yes, disabling use external binary morph targets, you will generate larger cr2 files.  But this is better than creating a scene relying on PMD's and having Poser crash upon opening.