I've been struggling with this and I couldn't find the answer anywhere.
First copy the URL of your game, then go to your study, create a new chapter, while creating, below the name section, you would find five columns, click on "URL" and paste that copied URL in the box.
You can copy/paste the URL directly -- this will embed the study.
If, however, you want to embed a link to your study starting on a specific chapter, or move in that chapter (both are possible), look in the "Share" tab in the study. It will include various link options.
You can paste this share link directly into the study -- no need for fancy formatting.
In analysis mode, there's a menu button which will bring up a study button. This will allow you to select which study you want to export the game.
