I am not very familiar with Project Server. I do know however that the data in Project Server is stored in a Microsoft SQL database. So while you can perform the copy and paste and get a temporary link between the data source and Excel, the prefered way to create a permanent link that you won't have to rebuild every time is by linking to the SQL database via Microsoft Excel's Get external data feature. In 2007 & 2010 you'll find these links under the "Data" ribbon, and then look for the get External Data Grouping. The following link to MS help explains how to do this
Bear in mind that you may need to get a network location and possibly user name & password XXXX your network admin in order to connect to the MS SQL database (ie. your Project Server Data)
If you connect this way, when you close Excel and reopen it later it will connect to the remote source to update the data in your spreadsheet, and it will update dynamically if you choose to link to the source rather than import it.
Please let me know if you have additional questions, and if this answers your question.