Embed images in word linked from external sources

It took me a while to realize how to embed images in word, linked to the external files. Normally this case arises when you open html files in word and save it. Amazingly you will find "Edit Links to Files" in such case. It would have been great to find that option while saving not in the internet.

On clicking that an option box will appear.

Select all the files, click "Break Link" and check "Save pictures in document". And you are done.