Can I insert graphics, like screenshots, in the files that LazHelp creates?
You can (the editor has a screenshot of itself in the help) but it is a bit tricky because your code has somehow to provide the TGraphic instance to use. Use the img element with a name like, f.e. "shot1" and register an event handler for the onGetGraphic event of the TLazHelp instance you use. When the help system requests the graphic it will call this handler with the "shot1" (or whatever you used) in the AName parameter and expect a TGraphic instance for the AGraphic parameter.
Personally in the editor i just used a PNG as a lazarus resource (made with the lazres tool that comes with lazarus). It was a single image so that was ok. If you have many images you might want to automate things a bit and possibly load them from external files. In that case your onGetGraphic should load the image file requested from the disk and provide it as a graphic. Note that TLazHelp will keep the instance cached so it won't ask you each time the image needs to be displayed. However also note that it doesn't make a copy of the instance: it uses the instance you provided so you need to keep the instances around for the lifetime of the TLazHelp instance. An easy method to do that is to use TImage instances to load the graphics and have the TLazHelp instance as the owner of the TImage instance so that once TLazHelp is destroyed it will also destroy the TImages.
Note that if you want to use graphics which are already used in your program (like button icons, etc) you don't need to duplicate things. Just register them with TLazHelp using the TLazHelp.RegisterGraphic method which accepts a name and a TGraphic instance. For image lists use TLazHelp.RegisterImageList which uses a prefix for each image (f.e. for a "il" prefix the first image will be "il0", the second "il1", etc). Note that unlike the above methods, the images from image list are copied to private bitmaps.
In the future i might add the ability to embed base64-encoded images for easier use of external graphics.