Better is to include it as a resource file (rc) and compile that to res and include the resource.
#define IDR_MY_JPG 101
IDR_MY_JPG RCDATA "\path\to\your\image\image.jpg"
If you need a complete example, plz wait a few hours. I do not have all tools available here.
You can subsequently link the res file and use TImage.Picture.LoadFromResourceName. I have to test the jpg conversion, but I know that is easy, because I do it always like that. A bit of patience and a full example follows.