Yep. Dragging the picture from iPhoto to the compose window sure is a nightmare.

Oh, you still want to know where the file is. Hmm, where could that information be hiding.... Let's try the context menu. Hm. "Show File". That couldn't be it, could it? Ah, nope. It just opens a Finder window to the directory the picture file is in, with the picture file selected. I suppose you're out of luck; I don't see anything that will give you the actual path.