Absolutely! This is probably a priority project in my eyes if you are serious about building this up and going in the right direction now.
Moving the BLOG to your domain.com will not only improve the relation to your site and content, but brand it as well. Having the BLOG on another domain (as it is now) might help you from a link building perspective (more than likely not helping very much) due to the fact Google would know you own that domain, and perhaps place less emphasis on the inbound links to the main site.
First - setup your site/domain to host the BLOG as you mentioned. www.domain.com/blog. There are a few reasons for this.
1. It will allow you to reap the rewards of the content you build (supporting your site/company/mission) and support the main domain, and it's
2. The content you build, share and move into the social sphere and space will allow for inbound links to be shared across the entire site/domain. (don't build it into a sub-domain like blog.domain.com as this is considered to be a completely separate domain and won't pass any link value and juice across the domain). sub-domains are considered to be domains by themselves in the eyes of a search engine like Google.
3. The content you build (and load daily to the BLOG) will keep search spiders coming back for more
4. Keeping the BOG content on the main domain, allows you to share the content of the BLOG to your web visitors who might be searching via BRAND or specific, helping associate the brand with the content marketing resource you are building. This in itself is a gold-mine, as it will also act as another source for long-tail traffic opportunity, but you'll have to do your due diligence on this from a research perspective to capitalize on the traffic.
5. Content marketing is going to be BIG (as it's already on the rise and exploding now). This will all fall under your efforts for the BLOG and should be focused on. The value here is that over time, Google will begin to apply TRUST and AUTHORITY factors to the content you write and submit - helping to support your brand as a quality resource of shared information for people.
Make sure to use rel=canonical from the old location URL's and point those over to the new URL's on the domain.com/blog listing. Also make sure to use rel=author for each of the articles on the new blog from a META position.
NOTE: Handling a migration such as this is very complex (especially if the BLOG is extremely large with thousands, or 10's of thousands of posts and articles). Even a few hundred can be TRICKY!
Not only do you have to setup the files (BLOG) on the new domain, but you will have to write and execute 301's for every single article on the old location/domain and point that over to the new one. Some CMS's like Drupal can assist with this if your programmers can handle writing the scripts. This is a very technical undertaking, so make sure to do your research. If it's a small resource, you can still follow the same protocols, but it will take much less time to complete.
I recently handled and oversaw a technical project like this months back that took quite a long time to do, troubleshoot as it had over 30K articles and 25K in image files over the past 6 years! It was a huge undertaking that went extremely well, but you have to be patient.
Hope this helps some! There's probably a little more I didn't mention as I'm late for a meeting with a client!, so if you have questions - let me know!
Rob