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You can embed video and audio from many external services (YouTube, Vimeo, SoundCloud, etc.) by simply placing the full URL of the audio/video location on its own line in your post or page. Embedding an image just means providing a URL to its location elsewhere on the web. Instead of uploading it to the server, WordPress grabs that image from the external source and displays it on your post or page.
There is a complete list of supported external services, and you can learn more about embedding at the WordPress site. Our general advice is to use externally hosted media whenever it makes sense and works. For example, you may want to use externally hosted media for audio or video because, without installing plugins, well-presented audio and video in WordPress is tricky to manage. For images, if you need to do basic editing and/or require different sizes of images, upload them to your site. Otherwise, consider referencing them from another location (your Flickr account, for example).
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