Ahhh yes Q, how could I forget.
Electronman, what Nigel is saying is ideally you want an inductor to have zero ohmic resistance, so you use thick wire, but with thick wire you need fairly large physical space for the coil. Those small encapsulated inductors are very thin very closely spaced wires, so the capacitance is high and so is the resistance, basically it'll impart it's own tank characteristics on the rest of the circuit, altering the overal electrical charactoristics of the circuit.
For more math than you probably wanted but a good explanation read this.
Q factor - Wikipedia, the free encyclopedia
Towards the end of the page you'll see how it applys to tank circuits. Now what you have to do is actually determine the inductance, resistance and capactiance of one of those tiny little guys and see how it affects your circuit, because the resistance and capacitance is so high it will likley make it so that the circuit could never function. In theory if the C and R were reasonable for your particular application you could adjust the rest of the components in your circuit, but for RF applications I don't think that's really practical, way too much loss, you need a really high Q.
I said a few more words but that's exactly what Nigel was referring to.