We use Unity's asset bundles and load things in when you start the game (it starts loading when the Screenwave bumper plays and it doesn't let you past the warning screen until it has finished). Spooky's HD as it exists right now was built with the idea of modding in mind.
So, we keep getting the same questions about BYOM, this thread will aggregate them and serve as a place to ask your questions and get answers about them!