You can add other installers to setup packages; however it isn't normally customary to include one for SQL Server for the following reasons:
1, What if they have a different version installed (i.e. you are installing SQL Standard and they already have SQL Enterprise available)?
2, What if they have a SQL server installed on another server that they wish to use?
3, In a couple of years time Microsoft release the next version of SQL server and your software is still installing SQL Server 2008?
For the sample database and data just add the SQL in as a resource and get the app to run the script on first execution.