To embed or not to embed

Hi all,

I’ve been experimenting with learning game coding and have encountered an issue I’m curious about…

At the moment I have 3 GIFs and 1 sound effect being used, with more to come. Now, is it more recommended to embed these files, which I’m been doing, or is it better to load them externally? To be honest, I really hate the idea of having to load them and would much prefer to embed them directly in to my project. What is the general consensus as to which technique is better?

Thank you in advance,

Justin