Hi, the problem is that when you do an export, it just gives you the content from the database, not the images or anything else stored in the uploads folder. When you import the content it gives you the option to download image attachments from the site you exported the content from, but this typically is only going to work when importing from a live site, as your web server will not be able to connect to localhost on your computer.
Using import/export is very convenient, but aside from attachments, it has other drawbacks, like not copying any of your WordPress, theme, or plugin settings. I would suggest migrating the whole install from your local machine to your live server when you are done developing a site. There is a bit of a learning curve, but once you get the hang of it the process is super smooth.
The documentation on moving WordPress is a good place to start.