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There are multiple ways to add video or audio files to your WordPress posts. You first option is to simply paste the link within your post content if the media is on the list of supported oEmbed options (which includes YouTube, Vimeo, Soundcloud, and many more).
Another option is if your WordPress theme includes built-in “Post Options” for you to add in video or audio as featured media (in stead of a featured image). If this option is available on your posts simply paste the link to your media, or upload your own mp3 or video file.