There are a couple of indirect methods, using Lie theory or Springer's general theory of regular elements in (real, complex) reflection groups, to construct natural embeddings among certain Weyl groups. But it should be possible to find such explicit embeddings in more elementary sources. One starts with the familiar finite real reflection groups of types $A_n \:(n \geq 2), D_n \: (n \geq 4), E_6$ and their Coxeter graphs (which are also Dynkin diagrams). Each graph has an obvious "folding" which gives respectively reflection groups of types: $BC_\ell$ (with $\ell = n/2$ if $n$ is even or $(n+1)/2$ if $n$ is odd); $BC_{n-1}$; and $F_4$. Here $BC_\ell$ is the Weyl group of Lie type $B_\ell$ or $C_\ell$ and has a normal subgroup $(\mathbb{Z}/2\mathbb{Z})^\ell$ acted on by $S_\ell$.

Is there an elementary construction in the literature of such embeddings of finite reflection groups?

For example, the reflection group of type $E_6$ has order $2^7 \; 3^4 \; 5$ and is realized (in Bourbaki or the Atlas of finite Groups) in various ways, for instance as the automorphism group of the 27 lines on a cubic surface having a simple subgroup of index 2. On the other hand, the group of type $F_4$ has order $2^7 \; 3^2$ and also has some standard realizations.