This group is quite fascinating and I've thought quite a lot about this question. Although I'm unable to answer it in a sensible way (an example of non-sensible way would be to embed this group in the group of permutations on itself through left translation), let me say a few things.

Let $S$ be the whole symmetric group (on an infinite set $X$), $F$ its finitary subgroup (finitely supported permutations), and $A$ its subgroup of index 2 of even permutations. The question is about $S/A$, which lies in a central extension
$$ 1\to F/A(\simeq \mathbf{Z}/2\mathbf{Z}) \to S/A\to S/F\to 1;$$
let $\omega^X\in H^2(S/F,\mathbf{Z}/2\mathbf{Z})$ be the cohomology class of this extension. It follows from Vitali's result $\mathrm{Hom}(S,\mathbf{Z}/2\mathbf{Z})=0$ that $\omega\neq 0$. Sergiescu observed, using acyclicity of $S$ (la Harpe- McDuff) that $H^2(S/F,\mathbf{Z}/2\mathbf{Z})$ is reduced to $\{0,\omega^X\}$, and indeed that $H_2(S/F)\simeq\mathbf{Z}/2\mathbf{Z}$.

Given a group $G$ and a homomorphism $f:G\to S/F$ (I call this a balanced near action), one thus gets, by pullback, a cohomology class $f^*\omega^X\in H^2(G,\mathbf{Z}/2\mathbf{Z})$, whose nonvanishing is on obstruction for $f$ to lift to a homomorphism $G\to S$, i.e., a genuine action on $X$.

The first nontrivial explicit computations of such classes were done by Kapoudjian in the context of Higman-Thompson and Neretin's groups and their natural near actions on trees. For this reason, I call $f^*\omega^X$ Kapoudjian class of the near action, and I address it here, §8.6 (self-advertisement warning, so I cw this answer).

Concerning the initial question, it has a kind of easier analogue which deserve some comment, namely finding a "natural" embedding of $S/F$ (rather than $S/A$): the simplest answer seems to be to embed it into the group of self-homeomorphisms of the Stone-Cech boundary of $X$. For $X$ countable, there is a significant literature around how large is the image within the whole self-homeomorphism group (Rudin-Shelah problem). In any case such ideas do not seem to provide embeddings of $S/A$. I insist anyway, because any embedding of $S/A$ kind of induces an embedding of $S/F$ (not literally speaking, but after slightly modifying the target group), so first a good understanding of how to embed $S/F$ would be useful (there are not so many understood ways), and second a good understanding of the central extension would be useful too, and this is well encoded in the Kapoudjian class.

Added: I made Vitali's 1915 rare paper (in Italian) available here. Reference info: *G. Vitali. Sostituzioni sopra una infinità numerabile di elementi. Bollettino Mathesis 7: 29-31, 1915.* (Any suggestion for a more standard repository is welcome.)

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