The option to “Embed layers and groups” is a nice new feature in QGIS (upcoming version 1.8). I hadn’t spotted it, but it was mentioned on the QGIS forum (always a valuable source of information).
It allows you to open the layers of a QGIS project file in your current project (you can select which layers you want to open). The nice thing is that it will open using the style settings defined in the project file.
Only problem I am having is that after adding a layer from a project file, it does not seem to be possible to edit the properties of that layer. I’ll ask at the forum whether that is a feature or a bug.