No there is no option for file attachment so I had to do this:
1. Create a new list (or library) where you want files to be uploaded
2. Made a copy EditForm.aspx where I set all field in that list as READ ONLY and set it as default
3. Just before this form is displayed I added a step in workflow where I am create new item in that list
4. In approval form I created a task field of type attachment which is displayed on form. I am setting its value in workflow with ID of newly created item for e.g. http://myserver/sites/somesite/Lists/MyList/NewEditForm.aspx?ID=34
5. Clicking on that link in approval form opens that page where user can attach file
6. User then comes back to form to press button to Approve or Reject