Concur with all the above..... you can't save the RAW file itself - only your camera can do that - so you need, in most cases, to keep the XMP file with it if you don't want to do the initial processing again. One slight exception to this - if your camera can record your Raw image as a DNG, any processing you do to it (with Adobe Camera Raw, for example) is saved
inside the DNG file. So no need to have an XMP file clinging to it.
Sadly (IMHO) very few camera manufacturers give you the choice of saving a Raw in
either their own proprietary format
or in DNG format.... Pentax do, but I haven't seen it mentioned on others. It does away with all the upgrades for ACR..... if I got a brand new Pentax tomorrow I can choose to save Raw as DNG - and it will use the ACR that I use now from my 5-year-old Pentax. If I upgraded a Canon/Nikon from equivalent 5-year-old models to a new one, I'd need to get the latest ACR - which would entail getting the latest version of Elements or CS5. (Of course, the Raw conversion software provided with a new camera by Canon, Nikon etc would work fine - but may make a difference to the workflow).