With UPX it is something like 500K? That's smaller than most of my texturemaps and models - and there will be DOZENS of them! So 500K is nothing.
It's still 500k that doesn't need to be there though.
Also keeping them separate projects is better (easier) in coding wise... I can develop "launcher.exe" more easily because it's smaller and does not have any game stuff code in it.
You can write it as a seperate .BB file and tack it on with an "include". The only thing you'd have to worry about is stuff like having a float in one file being used as an int in the other. Which, with only the smallest amount of care taken, won't happen.
...But everybody is free to do their stuff just like they want
I won't try to stop you. Just offering up my take on the pros and cons. Skidracer has offered up another con, too - the switching looks ugly.