To embed Calendly in a self-hosted WordPress site, start by finding the desired event type and clicking "Add to Website" to generate an embed code. Three options are available: Inline Embed, Popup Widget, or Popup Text, each working slightly differently. The chosen option is then used to paste into a Custom HTML block on any page or post, or as a widget in the WordPress dashboard. This allows for customization and placement of the Calendly embed, such as on every page or in a specific widget area.