Basically, XREF's are just blocks that have their definition outside the current drawing. You can edit that definition and it will be reflected everywhere that drawing is XREF'd.
Select the XREF's from the list you'd like "inserted" permanently into the current drawing, then pick the BIND button from the right side of the XREF dialog box. You'll then be given the option of "BIND" BIND or "INSERT" BIND (Simple 'til then right).
"BIND" BIND - Makes the xref a block, but adds the xref name as a prefix to all table names coming from that file. Example: FILE MYDWG has an XREF called SOMEBKG.dwg. While it is still and XREF a layer listing will show layers (blocks, linetypes, styles, etc) prefixxed with that XREF name and a "pipe" "|" (SOMEBKG|ROAD). "BIND" BIND replaces that "pipe" "|" with $0$ so that the layer (or block or whatever) name becomes SOMEBKG$0$ROAD. (Thank goodness for the rename command) This renaming is necessary for a couple of reasons, but primarily to avoid conflict with the current drawing's names. You may have layer SOMEBKG|ROAD frozen in a couple of viewports, but the current drawing's ROAD layer needs to be visible. Or there may be block name confilcts, etc.
"INSERT" BIND - makes the xref a block, just as if you used the INSERT BROWSE feature. Any common name in the XREF would take on all the aspects of that name in MYDWG.dwg. Most of the time this is the method of choice.
Either way you choose, the XERF becomes a block, that can then be exploded and manipulated to your heart's content.