I should make a video series, thanks for the idea. I don't have time to do that now though, so for now you should just do "File>external data>pack all into .blend" and that should pack all external files into your .blend so that when you export the game they are all included. Also, if you aren't already you should use the "Game Engine Publishing" addon, it makes exporting BGE games more straightforward. A tutorial on how to set it up here: