I'm one of the few who associate next actions with projects. Mainly because keeping track of customer orders and some other projects that have similar tasks would be a nightmare. If I see a next action on my @Laptop context stating "Email final artwork proof", I have no idea which order it relates to unless I stop and look through all the current orders.
But if I have "(RochUniv) Email final artwork proof", I can email the correct file for the University of Rochester as soon as the laptop fires up. I always have parenthesis with the order or project abreviated. Always have and always will. It just makes sense for me.
As far as listing next actions in the actual project/order folder, yup, I do that too. For orders, I have a checklist that I must follow with each step through the whole process. When one step is completed, an "X" is indicated before that action and the next one is copy and pasted into the NA list at the appropriate context. For projects, it simply depends how much I planned out when brainstorming the project. If I brainstorm out the steps, they are all listed in the project folder.