I list mine along with the hdl source files. They show up in the others file list of the project. The Megafunction also has the file name embedded. The hdl/mif/hex files are all listed in the qsf. Careful about case. I was getting Quartus crashes with internal fault that was traced to case sensitive file name comparison and I hadn't kept the case usage consistent. Perhaps it has been corrected in the newer releases. This crash was only when the mif/hex file has been changed and the sof was being updated but the synthesis/p&r step was skipped. A full compile didn't have the case sensitive problem.