You can add videos like MPEG to the Media library and use on your site, however, due to some older Apple devices having issues viewing these videos, embedding video from YouTube or Vimeo would be the most universal approach.
! This theme should make your YouTube video responsive to any device (ie. stretches the video proportionately within the content area), however, you may wish to download a plugin called FitVids if you want to use Vimeo or if this theme has aged (all do) and an updated version not yet available.