This feature is only available for Online Store 2.0 compatible themes so please make sure your theme is compatible. You can follow this tutorial to verify it.
If you wish to embed content on pages other than product page then please follow this tutorial: Embed content on other than product page.
This tutorial would walk you through steps required to embed content on product page if you would like to use product<>content relationship you've defined in app. If you don't wish to use product<>content relationship, then please visit above link follow regular embed steps.
Create a content of your choice by going to app > create content. Make sure you've published a content.
Create content <> product relationship by going to "Product mapping" menu in app.
Once you are done creating your contents and defining content <> products relationship, you need to define where on product page you would like to show these contents.
Click on "Online store" > "Themes" from left and side menu.
From "Current theme" section, choose "Customize" which would open up theme customizer.
Select "Products" > "Default product" template from top navigation.
From left side navigation, click "Add block" & choose "Custom content embed" from apps.
Option 1: If you wish to show all contents related to that product then check following setting from right hand side menu.
Option 2: If you wish to show only specific content then you would need to copy paste content embed code from app in an area below. Merchants generally use this option if they wish to show different contents at different locations on a product page.
Paste embed code in theme customizer:
Save setting & visit product page where you've configured to show content. You should see your content at desired position.