The best way to do that is to have a multimedia folder in the SAME location as your PAF data file, and copy your documents to that folder, and then link the records to the files in the multimedia folder. Note that PAF does not store the media files themselves within its database, instead it stores links to the media files.
The benefit of this approach is that PAF will create relative links to the media. These can be thought of as "portable links"; you can copy the PAF data plus the media folder to a different computer, flash drive, external hard drive, etc. without breaking the links.
To link to PDF or other document file types, you will tell PAF that you are linking a video (not an image).