No, you can't embed one message into another directly. As a workaround, you can do the following:
- To attach a single message, open it and click Forward (from the drop-menu at the top of the message). To attach a conversation, open it click Forward all on the right.
- Then compose your new message and send it. The earlier message will be included below your new message.
Alternatively, you can copy the text from the earlier message and paste it into a new message.