You can use the Microsoft Web service http://msdn.microsoft.com/en-us/library/lists.lists.addattachment.aspx to attach the current file the workflow is running on to a list item within the list specified in the Web service SOAP configuration.
Example
Below is a List with one item and no attachment
Below is a screenshot of the Shared Documents library containing the item to attach to the list:
Here we are creating a workflow on the Shared Documents library with a "Call Web Service" action configured as follows:
In this example the listName and listItemID are the ID and List Name of the target item where you would like the attachment added.
SOAP Example
<?xml version="1.0" encoding="utf-8"?>
<soap:Envelope xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns:soap="http://schemas.xmlsoap.org/soap/envelope/">
<soap:Body>
<AddAttachment xmlns="http://schemas.microsoft.com/sharepoint/soap/">
<listName>CAS-06699-LRR5</listName>
<listItemID>1</listItemID>
<fileName>{ItemProperty:FileLeafRef}</fileName>
<attachment>[FileData]</attachment>
</AddAttachment>
</soap:Body>
</soap:Envelope>
Where {ItemProperty:FileLeafRef} is the document name inserted reference and [FileData] is the file byte array parameter.
Go here to see more tutorials on other examples of the "Call Web Service" action - http://connect.nintex.com/files/folders/tutorials/tags/web+service/default.aspx.