chore(docs): add mdx-embed guide (#1400)

* Add MDX Embed guide to readme

* Move to guides

docs/guides/index.mdx

@@ -11,6 +11,7 @@ to add to them by [contributing](/contributing)!
 - [**\[WIP\]** Implement a dynamic table of contents](/guides/table-of-contents)
 - [**\[WIP\]** Use MDX in a Vue project](/guides/vue)
 - [Use markdown content in components](/guides/markdown-in-components)
+- [Embed 3rd Party media content with MDX Embed](/guides/mdx-embed)
 
 ## Customizing
 

docs/guides/mdx-embed.md

@@ -0,0 +1,34 @@
+# MDX Embed
+
+With [MDX Embed](https://www.mdx-embed.com/) you can [politely embed](https://www.gatsbyjs.com/blog/hacktoberfest-spotlight-mdx-embed/) and load 3rd party media content such as Twitter, CodePen, CodeSandbox, Egghead Lessons, Gists and many more in your `.mdx`, no **import** required!
+
+## Install
+
+```sh
+npm install mdx-embed --save
+```
+
+## Setup
+
+Wrap your application with the `MDXEmbedProvider` to allow your `.mdx` to render all of the provided components
+
+```javascript
+import React from 'react'
+import {MDXEmbedProvider} from 'mdx-embed'
+
+export default props => <MDXEmbedProvider>{props.children}</MDXEmbedProvider>
+```
+
+### Usage
+
+```javascript
+// some-mdx-file.mdx
+#### My cool pen
+
+Here's a pen, and some other blog post text
+
+<CodePen codePenId="PNaGbb" />
+
+```
+
+For the full installation and information about the various MDX packages visit the [docs](https://www.mdx-embed.com)