If you’re using Workbench, add your images to the project as Resource files; that way the compiler will know to include them in the .t3/.exe. If you aren’t using Workbench, you’ll have to add them to the project file manually. I don’t know what the syntax is off-hand; I’d have to look it up.
There’s a bug with sound files, but Mike released a patch for it. Details here. It doesn’t affect images, anyway.