It's generally beneficial to use external files for the tilesets, since it means you do not have to repeat yourself when creating multiple maps using the same tileset. Not only does the tileset store the parameters for cutting up the image, but it also potentially stores custom properties, terrain definitions, tile collision shapes and tile animations. Before Tiled 1.0, it was very cumbersome to work with tilesets that included a lot of such meta-information because they could not be edited unless they were embedded in the map.
Note that external tilesets have been supported since a very long time, it's only become the default for new tilesets in Tiled 1.0 because they can finally be edited. However, in the New Tileset dialog, there is an "Embed in map" checkbox, which you can use to create a new tileset embedded in the current map. To embed existing external tilesets in the map, you can use the buttons pointed out by @M4rw (they're below the tileset view).