Since the anim8or format is ASCII, storing binary objects such as images in the same file isn't possible unless Steve used a package method that packed all the associated files like a zip file, or changed his file format to binary. This would completely change how his current file system works though.
Personally I prefer the simple ASCII format. It's easy to just dig in to the file if it needs to be repaired, or if you want to copy and paste several objects or scenes, or build simple 3rd party tools in javascript or another scripting language. It would be nice if he supported both binary or ascii versions of the .an8 file, as is the case with a lot of 3D formats.
Generally you can treat a .an8 project the same way you would treat an exported 3ds or obj file that you want to share with someone: just place the textures in the same folder as wherever the .an8 file is located. I just checked this out, but it seems that Anim8or first checks for the texture in the same directory that the .an8 file is located in, and if there isn't one there then it checks the location that you saved for the material. For example, if you load a texture ("image.jpg") from your Pictures directory in Windows, and you save the .an8 file to your Desktop directory, then place another image of the same name ("image.jpg") in the Desktop directory, then it will use the image in the same directory as the .an8 file (the one located in your Desktop). So it's safe to just put a copy of the texture in the same folder of your .an8 file if you ever need to move your project around.