You don't load them separately: if you want to use particle inside the state file, you just add extra sprite into the image roster. So, if, for example, you have an enemy/object with sprites loaded through string like "image test 0 9", then to use particle you just need to add extra sprite with particle image named "test 10" and load it with the rest of sprites, hence the string will now look like "image test 0 10". Then you just assign the sprite number 10 to be used every time you call for the PARTICLE effect. There is more info on scripts and states in old version manual. It's entirely in Russian, but it can be google translated if you want.