In order to copy data into the volume you just created, you have to mount it in TrueCrypt's main window. You can mount more volumes at once and also check a box that will make sure history is never saved. Think about it, if you're already making sure your data is encrypted, you might as well cover all the tracks.
Every volume is protected by a password so make sure you use one that's strong enough and certainly not easy to guess. Your best shot is to usw a combination of uppercase and lowercase letters with numbers and a few special characters. Don't use anything from the dictionary and you're on the right track. There's really no point in encrypting data if the volume is going to be protected by a weak password.
Once mounted, the volume appears in TrueCrypt's main window like this and it's prepared to be filled up with data. Make sure you don't forget to unmount the volume and remember the password, otherwise you'll be locked out from the same data you were trying to protect.
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