Even better, uncheck the "Copy files to iTunes Folder" checkbox in the advanced tab in Preferences, and add them to iTunes as normal. After you've finished putting them into iTunes (doesn't take long) just check the box again so that when you want to put in music it does get copied in - I lost an album by forgetting.
A link to the movie is put into iTunes, but the actual file is on the HD. I have about 60 movies done that way, with no need to mess about with different libraries and they play in Front Row too.