@OneBadApple It sounds like you’re having issues related to the way iTunes does file management. If you have hardly any music, you could just make yourself a backup file that you can copy out of when iTunes “loses” your file. But I think the issue is not that the files are being deleted, but moved to a location you aren’t aware of.
Have a look under Edit > Preferences > Advanced (the gear wheel to the right)
If “Keep iTunes media folder organized” and “Copy files to iTunes media folder when adding to library” are checked, then as soon as you play a new song, it should go directly to the location shown in the box marked “iTunes media folder location”. The files are removed from wherever you put them, and sent there. If you don’t want them to be in that location, you can choose a new location for them by clicking “Change” to the right of that box.
Just beware: if you’re using an external hard drive to hold music, that hard drive must be connected to your computer when you start iTunes, or you risk having iTunes change the location to a different one of its choosing. But again – the songs would not be deleted, just moved. I find it a lot easier to find them through a navigator like Explorer (or whatever you use on your OS) than through iTunes – as you have hinted, it can be frustrating to use if you don’t know where to look for the files.