You can embed the files in your OmniFocus document, if you want. Here are some reasons you might not want to do so:
- Sync performance: adding a few megabytes (or more) to your database will certainly slow down any sync operations where the whole database needs to be read or written (and you'll really notice it if you are using a nonlocal webDAV server and you have asymmetric bandwidth)
- Disk space: every time OmniFocus makes a backup copy of your database, you'll be duplicating your megabytes of attachments
- Accessibility: while it seems like a great idea, in practice, it isn't so wonderful if the support material tends to change. You don't get convenient access to those documents except by going through OmniFocus. If any of that support material is something that needs to be edited by multiple people, this is going to be a headache.
- iPhone: there's limited RAM on the iPhone, and there isn't any means to sync only part of your database. Bloat the database enough with embedded files and suffer either slow loading or possibly no loading at all. To add insult to injury, the iPhone might not even be able to do anything constructive with those embedded files.
Now, if you are just using OmniFocus on the desktop, with no synchronization with either other copies of OmniFocus on the desktop or iPhone, some of these issues become less significant.