Well yes ... it will.
What you are doing is saying "yes - copy the version in the debug folder to the main folder" each time you run it. Changes your code then makes are applied to the copy of the data you just created. When you program exits, those changes are not copied back to the debug folder but are retained in the copy in the main directory.
This is exactly what should happen: the debug folder holds a "perfect" version of the data which is copied to the "working" folder so that if your app makes huge mistakes in development, you don't lose the "base" information for next time you run it.
Instead of doing this, make a folder under the "App data" folder: open Windows Explorer and enter "%LocalAppdata%" as the address. Press ENTER and it will take you to the Local folder. Create a folder called "Test Data", and open it. Create a folder inside that called your app name. Open it. Create a folder inside that called "Good Data".
Now open a second Windows Explorer instance, and browse top your Debug folder. Copy the database file to both the folder you created, so you have a "live" and a "good" copy.
Now deleted it from your debug and main app folders, and remove the file link from your app.
Go back to the first Windows Explorer window, and click once in the address bar - that will give you the path to the "live" folder - in my case that would be:
C:\Users\PaulG\AppData\Local\Test Data\MyAppName
Copy that, and use it in the connection string you load into your app.
When you muck the DB up, just copy it from the "Good Data" folder back to the "Live" folder.