You should have several options (assuming you are running Core or Pro).
For the Snagit images: You can attach Snagit images as thought icons. To do this, after capturing the image, select copy all in the Snagit Window so the image is written to the clipboard. Then right click on the thought and choose Paste Thought Icon. You can also paste the image in the Notes window if you prefer. Keep in mind that you don't want to many images in a single thoughts notes, as it can slow PB down. For .pdf's, just drag them to the thought and they will either be linked to or copied into an internal PB folder, depending on your settings in Options > Preferences. In both cases the attachment is indexed so can be found in an extended search, or can be opened either by clicking on the attachment icon on the thought, or by clicking on the attachment in the Properties & Attachments tools window.
Java SE 6