Should I Embed Video in Media Category or Albums?

This is based on the user preference.

If you embed Videos to a Media Category, when you click on that category, you not only see your videos but also other member's images and videos that have been uploaded to that category.

If you prefer organizing your videos in a particular way or if you feel the videos you want to share will not fit into any of the Media Categories then you can create your own albums. An Album can be made private or public.

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