This tutorial uses a video from YouTube, but this method works with Vimeo videos as well.
1.) Create the post for the video
If you need help with this step, check the tutorial Write a Blog Post.
2.) Copy the address of the video from YouTube
If you uploaded the video to your own YouTube account, be sure the privacy setting on the video is either Public (searchable on YouTube.com) or Unlisted (only viewable on the link). Videos listed as Private aren't viewable by others.
Read more about YouTube's Privacy settings.
3.) Paste the video address into your post
Make sure the video address is not a live link. If the address is purple and underlined, remove the link by highlighting the address and clicking the 'Remove link' icon.
4.) Under the YouTube address, write a short title for the video
5.) Highlight the video title and click the 'Insert Link' icon
6.) In the 'Insert/edit link' box that pops up, paste the YouTube address in the URL box, add a title, select 'Open link in new window' and then click 'Add Link'
7.) The title should now be purple and underlined in your post
8.) Click 'Publish' on the right
9.) Click 'View Post' at the top of the page
10.) The video should be visible in your post, with the title underneath linked to the YouTube page