No, it doesn't have to work that way. You can eTransmit the entire set as one zip file and it will grab one copy of each needed file and place it in the zip. it will also maintain the folder structure as well, making unzipping easy at the other end. You don't have to eTransmit each one individually.
Also, if making a CD of your drawing set, here is the method I use.
1) - eTransmit the complete set. This creates a zip file containing everything needed for the complete set.
2) - Open the zip file.
3) - Insert blank CD and open a writable window.
4) - Drag all your files from the zip file ot the writable window.
5) - Burn baby, burn!
This will give you a CD with one copy of each file needed for the set and the correct folder structure so that all your x-refs will work correctly and no font files will be missing or anything like that. Plus, you will be left with that zip file to archive an electronic copy somewhere on your file server for future reference.
I would suggest trying the eTransmit feature on a set and take a look at what it does. It's really quite cool and simple.