Links about Database Design - Whitepaper would be the first to read.
A Google for construction limited to these forums "construction site:forums.filemaker.com"
In terms of getting a relationship that works, yes you could put a project number field in the change orders table. That produces the needed pair of "match" fields needed to define a relationship. This is typical of any relational database.
But if you are manually entering a ProjectNumber or importing it from a different source, then you should not use it in this relationship. It's much safer to keep that field as a text field in the projects table and use an auto-entered serial number field as an internal "projectID" for linking a table of Projects to a table of change orders.
Whether you use your project Number Field or add a ProjectID field, you may or may not need to set up the match field in change order as a drop down list. It depends on how you set up your layouts. You could, for example, place a portal to change orders on your projects layout and then no such drop down would be needed if you use the portal to add/remove/edit change orders.
I like the concept of an auto entered serial number as the primary key - helps me keep things straight, and the portal makes sense in the layout, that should automatically keep the change order with the correct project number.
Thanks for the white paper as well, will read that shortly,