I found solution for this. I need to call session two time. First time to save attachment to my template file and than again to create new instance of it. Below is my code:
RedemptionLoader.DllLocation64Bit = Server.MapPath("~/bin/dlls/Redemption64.dll");
RedemptionLoader.DllLocation32Bit = Server.MapPath("~/bin/dlls/Redemption.dll");
Interop.Redemption.RDOSession session1 = RedemptionLoader.new_RDOSession();
var msg1 = session1.GetMessageFromMsgFile(templatePath);
msg1.Subject = String.Format("Report");
String ImageString = Server.MapPath("~\\FolderName") + "\\" + ImageName;
RDOAttachment Attach = msg1.Attachments.Add(ImageString);
Attach.ContentID = "image1";
String htb = "<html><head><title>The Title</title></head><body><h1>This is some text</h1>Image 1<br /><img src=cid:image1><br /></body></html>";
msg1.HTMLBody = htb;
msg1.Save();
Interop.Redemption.RDOSession session = RedemptionLoader.new_RDOSession();
var msg = session.GetMessageFromMsgFile(templatePath);
msg.SaveAs(newPath);
This works for me.