Install them separately, but don't embed. CMake provides features like the external project stuff which lets you fetch and build other sources. But even then,

Install them separately, but don't embed. CMake provides features like the external project stuff which lets you fetch and build other sources. But even then, you don't need to embed that in your source tree either--do it at a higher level which builds all the dependencies plus your own sources. This keeps your sources free of embedded junk, giving it the flexibility to be packaged, or used standalone.