One Executable

Is there a way in blitz to make my whole project to one executable including images, sounds, etc??

Take a look at Terrabits PAK system, that'll do the job. There is no way to do this natively.

Can't this be achieved also by converting all images and sounds to DATA statements?

Yes, it's possible, but if you have more than a few hundred kb of data, it'll get very heavy.

TeraPak can be found here

Also (in theory) TeraBit's solution doesn't use additional memory at runtime.