Yes, opening a MIDI file as a new project preserves the tempo changes, and importing drops them in favor of the project's existing tempo (or tempo map if it already has more than one fixed initial tempo). Either way, you can save as a "Normal" project file, so starting by opening the MIDI file is probably the way to go. You can then edit the tempo in the Tempo View as needed.
If you have an existing project or template that you want to bring the MIDI fie into along with its tempo changes, you can open both that project and the MIDI file as a second project simultaneously, and copy and paste the MIDI clip from one to the other using Copy Special (Ctrl+Alt+C) and Paste Special (Ctrl+Alt+V) to ensure tempos are included.