In RAD Studio it's so easy too!
you can add any file in your project, of course, your "EXE"/DLL/etc... it will be "bloated" depending on the type of file you will include!
in your case, I think that using "Deployment" menu will be better, because you can define where yours files will be placed, including what names it will have!
other way, you can use the "events"when compiling your project... but I think that your better choice is "Deployment"