Thomaz, I had exactly the same problem with my setup. I was adding in all of these companion files into the direct editor and they just kept getting removed.
My solution was to add then in by right clicking on the files, un-checking the use system properties box, and then pasting in the correct companion file name into the file verison space.
You must make sure that the companion file you add in here is the full file name, with the guid appended if this what your file table has in it.
Just another hint aswell, I had a lot of trouble using a key file and giving it a companion file.
I have also create a 'dud' exe file that just displays a text message so I can always use this as the companio file in my project without the worry of it being removed by another developer.
good luck