As mentioned on the files page, you can save media using the folders tool, in the same way that you would save any file to the site.
You can add audio and video to any page using media blocks. This is a great way to display promotional videos, put songs on the site, post speeches, and more.
You can also add videos through the text editor by copying the URL of a video. This is most useful if you are copying a YouTube video.
Another way to add videos through the text editor is by copying and pasting the Embed HTML Code. Learn how here.