Thanks to Antonio Estevez for this information:

Instead of having to move .wav files into the same folder as your executable,
you can bring a .wav file into your code in much the same way as you can
bring in a TImage component.

In Notepad, create a file which lists the .wav files you wish to use:

100 WAVE "your_first_sound_file.wav"
200 WAVE "your_second_sound_file.wav"
300 WAVE "your_third_sound_file.wav"

Save it as "sound.rc" in the same folder as your Project and Unit files.

In the IDE, click "Project", select "Add to Project," and select that Resource "sound.rc" file.

In your Unit1.cpp source code, call the sounds with:

PlaySound(MAKEINTRESOURCE(100), HInstance, SND_RESOURCE);
PlaySound(MAKEINTRESOURCE(200), HInstance, SND_RESOURCE);
PlaySound(MAKEINTRESOURCE(300), HInstance, SND_RESOURCE);

Your executable will then contain the .wav files.

Notes (by NG):
It does not appear to make any difference what the *.rc file is called.
It is possible to create the *.rc file while still in the IDE.