Every example can contain a lib and/or an img folder: those folders must be copied in the root of your raspberry pi pico. Then you must copy the .py file of the example in the root too.
In your scripts is not necessary include the libraries by adding lib/ : the MicroPython interpreter will look in the lib folder by default.
Example of Raspberry Pi Pico folder structure:
[root]
├─ img
│ └─ szlogo.pbm
├─ lib
│ ├─ max7219.py
│ ├─ ssd1306.py
│ └─
├─ blink_del.py
├─ blink_int.py
├─ dotmatrix.py
├─ neopixel.py
├─ oled_logo.py
├─ oled.py
├─ pwm1.py
├─ pwm2.py
├─ pwm3.py
└─ pwm150khz.py
Folder structure generated with ASCII Treewiev generator