Have a look at the
CONFIG_EXTRA_FIRMWARE_DIR configuration options (found at Device Drivers -> Generic Driver Options).
The first option will enable firmware being built into the kernel, the second one should contain the firmware filename (or a space-separated list of names), and the third where to look for the firmware.
So in your example, you would set those options to:
A word of advise: Compiling all modules into the kernel is not a good idea. I think I understand your ambition because at some point I was also desperate to do it. The problem with such approach is that you cannot unload the module once it is built-in - and, unfortunately especially the wireless drivers tend to be buggy which leads to a necessity of re-loading their modules. Also, in some cases, a module version of a recent driver will just not work.