Normally when I create fasteners, I rename the fastener from something like "SBHCSCREW 0.138-32x0.75-HX-S" (devoid of common fastener language meaning) to something like "6-32 x 750 BHSS" and save it in the directory of the project in which it's used--not the default Toolbox location.
So I've got a project now where I've done this, but upon opening the assembly, the files with the default file names are being grabbed from the default directory--despite the fact that I've renamed the files, relocated them to my local project directory, and saved the top-level assembly as such. My guess is that I'm missing an option or have an option set differently than I had with v2010 (using v2011 SP3.0 now).
Below is a snapshot of the relevent options (I think) in configuring Toolbox:
Uncheck this box.