Then incbin the program and the link file containing the data into one file.
As Klaz said, gem only loads the length of the program contained in the exe header (data ,bss, relocation table etc). I then simply sfirst/fread the data from within the PRG by skipping straight to where the data is.
I did this on loads of old stuff as well as some of my new patches. It was good baffling users :) They often couldn't understand how a 800kb PRG could run on a 520 ST! :)