Is it best to load the preloader from external file or place it directly into an already existing movie?
there's no one answer for everyone.
but for an inexperienced coder that's already completed their main project and is adding a preloader as an after-thought, it's usually easiest to create a stand-alone preloader.
and even for experienced coder's, that's usually the easiest way to preceed.
Is there a performance hit either way?
no, there should be no significant performance issue. the loop that's used in the preloader should terminate (or be terminated) when loading is complete.