I highly recommend to use Costura.Fody - by far the best and easiest way to embed resources in your assembly. It's available as NuGet package.
Install-Package Costura.Fody
After adding it to the project, it will automatically embed all references that are copied to the output directory into your main assembly. You might want to clean the embedded files by adding a target to your project:
Install-CleanReferencesTarget
You'll also be able to specify whether to include the pdb's, exclude certain assemblies, or extracting the assemblies on the fly. As far as I know, also unmanaged assemblies are supported.
Update
Currently, some people are trying to add support for DNX.
Update 2
For the lastest Fody version, you will need to have MSBuild 16 (so Visual Studio 2019). Fody version 4.2.1 will do MSBuild 15. (reference: Fody is only supported on MSBuild 16 and above. Current version: 15)
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