You should pretty much always store music externally due to its size, otherwise the game's preloading will be unbearably long. Graphics aren't as bad, but it would still be a good idea.
For saving the game, you should always make your own save format. It needn't be complex, just make sure the files it produces are small (and that it's fast). GM's built-in save format is horrible, terrible, bad, and I don't like it.