Hey ozzie,
I have to admit, i haven't done any multi-level tests yet, although i know how important this is, to any kind of game. I'm working on the new IntenseX Basic version now which you'll be able to update for free, and i'll make sure to include a multi-level example in the manual, and fix any possible bugs that I find.
Meanwhile, keep all levels in the same folder like you did, but start a new IntenseX Project for every new level. If both projects are in the same folder, they'll share the same panel settings, so you won't have to redo that part. When the new update is out, you'll be able to update your existing project and get the ability to switch through levels and everything.
Cheers!
Aris