I think you can use the markdown style embed

I think it's broken at the moment. I tried to link something for you and it won't do it. Here's a description of what I tried to do. Under the reply area there are four buttons: ?, image/gif, language, and add comment. I selected image/gif and filled in the blanks, but....nothing.

I don't think Lemmy supports embedded videos yet, just images.

Oh wait, looks like it did. I sent a screenshot. Give it a try with your gif. Nothing will show up until after you hit send.