When you select a linked file in the menu, and click on the options button in the top right of the menu, you will see the options and one is Embed. Click on this and the file will be embedded into the illustrator file.
You may find you have a missing file, if this happens, then select the missing file and either click the relink button at the bottom of the menu, or the relink from the dropdown menu at the top right. It will have you navigate to and select the file. Once relinked you can repeat step two with that file.
NOTE: Make sure to save this embedded file seperate from your design file in case you need to go back and make changes to the linked objects quickly (you can still do it, just has a few more steps)