You should download the framework assistant here:
http://homepage.ntlworld.com/config/fa/index.htm, which will tell you what modules of BlitzMax is actually used and what framework code to use in the top of your code. This will ensure, that only modules actually used will be packed into the final exe file. I have made exe files using BlitzMax that only was about 15kb after upx packing, so it is possible to create small files using BlitzMax.
BlitzMax also has the option of packing the media files into the exe using the command incbin, so be sure to check that out in the docs. (I know the docs does seem pretty basic, but they are alright once you get used to using it.)
Good luck with your first demo. I do not know if I can find the time to get something done for the christmas demo, but it could be fun to get back into demo coding again.