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 from outside.
Even so, there are times when you'll want to import graphics. This might be when you have an existing graphic that would be impossible or difficult to re-create in Flash, or if the graphic requires a raster file type (usually a photograph). When you're certain you want to import, there are ways to do so. If it's a vector, you're best off using a graphic tool that can export .swfs. Otherwise, there are a few file formats (such as Illustrator .eps and .ai files) that are generally supported, albeit not very well.
A raster graphic is pretty easy to import. Flash has options for compressing on export. Also, you can change the imported bitmap into a true vector graphic.