You should create all the graphics that you can right inside Flash. If this hour taught you nothing else, remember that it's always better to create graphics in Flash than to try to import them from outside.
However, there are times when you want to import graphics, such as when you have an existing graphic that would be impossible or difficult to re-create in Flash or when a graphic requires a raster file type (usually a photograph). When you're certain you want to import, there are ways to do so. If you're importing a vector graphic, you'll do best if you use a graphics tool that can export .swf files.
A raster graphic is pretty easy to import. Flash has options for compressing on export. Also, you can change an imported bitmap into a true vector graphic.