You need to copy the attachments over as well. Based on the context of the code that you gave, this should work:
...
foreach (object item in oSelection)
{
Outlook.MailItem mi = (Outlook.MailItem)item;
mailItem.HTMLBody = mi.HTMLBody;
if(mi.Attachments != null && mi.Attachmets.Count > 0)
{
foreach(var attach in mi.Attachments)
{
mailItem.Attachments.Add(attach);
}
}
}
In Outlook the attachments are used as the image data source for "embedded" images.