Launching mp3 file from Finder, iTunes first tells me it's "copying" it - to where?
It is putting the file in the iTunes library. you can find that location by going here:

iTunes Preferences &gt; Advanced


And it is listed under iTunes Media Folder Location at the top of the window.

Default behavior is to copy the file to the iTunes media folder. If you uncheck "Copy media to iTunes media folder when adding to library" on that same Preferences window it will stop doing that.