CocoRoise – Lemonade from Sub Pop Records on Vimeo.

When you mouse over a Vimeo video you get a button called Embed click it and copy paste that code into your WordPress editor while you are in HTML mode.

<iframe src=”http://player.vimeo.com/video/11875440?title=0&amp;byline=0&amp;portrait=0″ width=”400″ height=”225″ frameborder=”0″ webkitAllowFullScreen allowFullScreen></iframe><p><a href=”http://vimeo.com/11875440″>CocoRoise – Lemonade</a> from <a href=”http://vimeo.com/subpop”>Sub Pop Records</a> on <a href=”http://vimeo.com”>Vimeo</a>.</p>

If you do it in Visual mode it will appear like the above.