First, create a new wave or create a reply inside a wave.
Then enter the text you wish to use for a URL link.
Select the text you just entered and click on the 'link' button in the edit bar at the top of the wave.
Now paste/type in a video link(for example a youtube link) and click insert link.
You will see a light bulb icon next to the link you just created.
Click on the light bulb icon, a pop up to embed a video will appear
Click on "Embed Video" and the video will load into your wave.