I do it all the time because I mostly write Hubs about music or movies. Therefore I include a YouTube video in the Hub of a song from the album I'm writing about, or the trailer of the movie I'm reviewing. I try to use music videos that were posted on YouTube by the record labels themselves, and movie trailers from a legitimate source (many studios post trailers on YouTube for promotional purposes) rather than home-made "fan edit" clips.
...and yes, you copy the YouTube video's link, then place a "video" capsule in your Hub. Paste the YouTube link in the proper place in the video capsule and bada-bing! There you go.