I have a portable executable that saves data to a file in the same folder as the executable. Is there any way that I can save data into the executable itself when I close the ap
You cannot modify your own EXE to contain stored data in anything approaching an elegant or compact way. First off, the OS obtains a lock on the EXE file while the application contained within is being run. Second, an EXE comes pre-compiled (into MSIL at least), and modification of the file's source data usually requires recompilation to reset various pointers to code handles, or else a SERIOUS knowledge on a very esoteric level about what you're doing to the file.
The generally-accepted methods are the application config file, a resource file, or some custom file you create/read/modify at runtime, like you're doing now. Two files for an application should not be cause for concern