The best importing option for video is streaming from flash media server. Below I discuss the drawbacks if you use other alternatives.
i) If you use embed video option
File size will go huge. Loading time will be higher. This is not a good option if you have big size video files.
ii) If you use progressive download from a web server
Video file gets downloaded to the client machine during the progressive download. Since video file is downloaded into the client machine, there are chances of the external user to reuse the same video.
iii) If you use streaming from flash media server
Video directly gets streamed from Flash Media Server. In this case, video file download does not happen on the client side. Video file security concerns are already addressed by Flash Media Server protocols.
And to use the flash media server option, I'd need to purchase space on a server, correct?
You need to purchase Adobe Flash Media Server software if you more concern about security and streaming. Please click on the link for details