I don't believe there is a clean way of doing this at the moment unless you have your own server. It would be useful feature if a problem was "aware" of all the auxiliary files it needs. This is planned once the PGalias.pm file is fleshed out, but it's not ready yet.
You can download the latex and then also grab the .png files of the web from the HTML version of the problems. (I don't think you can grab them from the pdf download). Then you can put them in a folder with the .tex file and with a little fussing you can tex the file with the graphics included. It's not something you would want to do routinely, but for special circumstances (such as a presentation) I've done it.
The original use of the .tex download was for troubleshooting only -- but once a problem knows which resources it is using it should be possible to write a quiz in WeBWorK, download the tex file and tweak it, and then deliver it as hardcopy even if the problem uses graphs and other external files.
--Mike