In case someone else need this, the package tool worked for me. Reading the documentation again it seems to be the right way indeed. There's also a session about this on the "Getting Start" tutorial:
Some important steps (I'm using CMake):
1. build the project with "-s FORCE_FILESYSTEM=1"
2. after compilation run file_packager.py [data-file] --js-output=[loader-file] --preload [folder/file.dat]
My example: #python file_packager.py project.data --js-output=data_loader.js --preload models/model1.dat
3. manage your HTML file to include and start the data_loader.js before to run your module
Notes:
- I've ran the file_packager from inside my "js" folder (my "models" folder is inside my "js" folder).
- you can use preload or embed but the documentation strongly suggest to use preload instead of embed.