So to do this I am using the Blubrry PowerPress plug-in and save the video to the website, then input the url to the video in the podcast section at the bottom of the edit page.
Here are some directions (which are much the same as the audio directions):
When you have an audio or a video that you want to put into a post or page, you will have to make sure the file is saved to the website. Know the URL address of the file so that you have it for attaching to the post or page. Open the post or page you want to attach the file to. If it is a new one go ahead and ‘add new’. Scroll down to the bottom of the edit page to the section where it says Podcast Episode.
Fill in the Media URL. After this is (as well as the text you want with the post or page) is in the you can save the page by clicking on Publish or Save as Draft (like you would do with a normal post or page).
Then you can preview the file by clicking on the preview button in the top right side of the edit page. I tend to right click and open the file either in a new window or tab, then if I have changes to make, I can just refresh the preview window.