I seem to remember it asking if i wanted to merge my self extracting executable mod with an MPQ that contained custom dats that I made in DatEdit but it's not doing that for some reason.

You can always open the .exe with WinMPQ and add your .dat files (and other stuff like iscript.bin or strings_txt.tbl) manually.

Use Save As, then click Yes when it asks if you want to copy an archive into the exe.