Are the documents freely available online, such as on a government archive site? If so, I would just link to it in the sources, making sure to include enough information to find the document in case the link itself changes. I do that often with census records and public records from provincial archives.
For documents that are not available online, I think it's a good idea to attach them to profiles, making sure that good size and compression settings are used to make them small data-size-wise. Of course, I'm assuming here that no copyright issues prevent doing so.
In some cases, I do have access to digital images of church records by subscription. The records themselves shouldn't be copyrighted, but it is not clear if the digital images are copyrighted. In those cases, I just transcribe the information into the profile and mention that it's from a certain church's records.