Latest WME version: WME 1.9.1 (January 1st, 2010) - download
Now I have a similar problem than before but with music; the ogg really compress audio, but for Music I prefer to use in some scenes the MIDI files (less than 20kb). It will be implemented in the future??
I've had good luck with TGA images. Seems like they tend to be smaller, yet without the lossy compression of JPEGs.