Normally they do, but some implementations (notably GNU SmallTalk) are so afraid of the SmallTalk way of doing things that they use source files instead, which IMO removes a large part of the attraction of using SmallTalk at all.
I know there are tools and workarounds, and I'm quite familiar with how things are done there, and I used to be a huge advocate of the Smalltalk style approach. But over time, I've come to see two sides to this discussion.
Minimal images without UI and a kick-ass package management system should be the foundation of whatever else you want to build with it.