Textures, models and sounds can all be packed into the BSP file that is created for your map when it is compiled. The BSP file has a folder structure just like all source games, where there is a Materials, Sound, and Models folder.
You can just put the files into your game so that you can see them in Hammer, and then when you are ready to share the map then pack them into the map so that people don’t have to download all the files separately.
The program for packing/unpacking maps is called Pakrat.
Note: A new bsp file is created every time you recompile the map, so packed files are lost, so it is recommended that you put the files into your own games folders this way you don’t have to keep repacking the files yourself, and only do it once when you are going to share it.