no. the client will have to download the individual .wad file, along with teh .bsp, and any other extras.
No WAD Textures (as it's called) includes the textures used in the .map into the .bsp; and only increases the file siz slightly (well, by a couple MB's if you used alot of large wads)
it's better (imho) because there's no hassle when the client has to install manually and it means less uploading to your ftp (saving you time and money :P)
the option can be found with zhlt (nem's tools -
google)