Absolutely. You may not actually want to 'embed' them, but would almost certainly be better off 'linking' to them.
Create a field of type 'Container'. Right-click on it and use the 'Open...' dialogue box to search for the pdf, Word, Excel sheet, etc you want to have embedded in the record. Click OK' and you're good - the document will now be fully contained inside that field, and can be opened, in its native application.
However, I would strongly advise you to check the 'Store only a reference to the file' in the bottom left of that 'Open...' dialogue box, otherwise your FM file will rapidly get to be huge. There are other characteristics, too, which are usually advantages, like you can have users update the Word document independently, and the next time you open it from within FM it will be that latest updated version, too.
It is a really neat feature of Filemaker.