This assumes you are using wordpress on your own, and not at a wordpress.com hosted blog.
Go to your settings, media, Embed settings and make sure the auto-embed is checked, and set your desired maximum video size. Reference material.
Just post the url http://vimeo.com/240975 on it's own line. The video will embed itself, but any attempts to align or re-size it could break it. However; if you wrap the url in the embed tag, like this;
[embed] http://vimeo.com/240975 [/embed]
You can then align left, center or right. The size will default to the original video size. To control dimensions on individual videos, you can add width and height to the embed tag like this;
[embed width="500" height="400"] http://vimeo.com/240975 [/embed]