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How can we import images without creating huge Word files?

How can we import photos and diagrams without creating huge MS Word files? Our situation is as follows: We work with Word and experience trouble with some files if we add images. Because we use Word to write test reports, we add photos (JPEG format) and diagrams of tests (BMP format). We try to minimize the file size by shooting the photos at a lower quality and resolution.

To minimize the file of diagrams we tried other formats, too, like JPEG, PNG and TIFF. JPEG brings a BMP file of about 200 KB down to 50 KB. PNG brings a BMP file of about 200 KB down to 8 KB. TIFF doesn't change the size of the file.

But as soon as we import the original BMP or the new PNG, JPEG or TIFF files into MS Word and try to save, we get Word files of the same size. All 209 KB -- the only exception is JPEG. That gives a file of about 1200 KB. Is there a solution or is it inevitable if we use MS Word?

One solution is to link the images in from the outside, rather than embed them exclusively. In Office XP, use the command Insert | Picture | From File, and then select Link to File from the drop-down list in the action button next to the filename dialog. The image needs to be kept in the same location consistently for this to work (probably a network-accessible drive if you're using this in multiple locations), but this way you can simply maintain a link to the image rather than embed the image directly. If you want to keep things portable, though, the image needs to be embedded in the document, and you can use JPEG or PNG/GIF compression depending on the size of the image.

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A good rule of thumb is to edit an image before adding it to Microsoft Word. As handy as those crop and resize tools in Word are, they retain the original image in the background of the file. If you are switching between file types, you are probably using a program especially for photos before importing. Editing in a dedicated photo editor such as Aperture or Photoshop and saving or exporting as a new resized file will result in a smaller file size than editing in Word. 
Are you importing the modified version of the image? You say
"as soon as well import the original BMP". Change your image size, density and quality,then verify the size, then do the import.
If you are in the windows space, IrfanView is my go to utility for quick scaling, resizing, resampling, and modification of images so that they will be ready to put into a document. Make your changes before you put them in :).
I’d have to agree with @Michael Larsen on IrfanView being my go-to tool. Jing can also be used to capture fairly small screenshots.