But what have you downloaded from 3-rd party site? Substance comes as a single file with .sbsar extension.
When you apply a substance, configurable texture is generated on the fly. Once configured, you bake that texture permanently into the host object.
If you just downloaded and applied some static image based texture (in .png, jpg formats), it is already embedded/baked into the object by default.
There is no need to do anything else.