Hi there, welcome to the forum.
1) Yes, as MB said, the array contents are embedded by default. In fact, this is true of most SM components - when you save a schematic, it is stored in exactly its current state with all numberic values, bitmaps, strings etc. exactly as you left them. There is a primitive called 'After Load' that you can use to explicitly reset things at load time if you need to.
2) You've probably hit on the easiest way to do it - loading one big .wav file can then update your entire samplebank. The easiest way is to make sure that all of your individual samples are the same length - you can then easily select a different sample bu just adding the appropriate offset to the playback pointer for the wave array.
There's a thread HERE
that should see you hit the ground running.