So, I have been writing my application for a job, and I want to mention that I consider the job as an opportunity where I convert the theory I have learned in my study into practice (real work). In this context, would it be correct to state "embedding theoretical knowledge into practice"? I read it somewhere online, but I am not quite sure about the correctness of it.
Embedding something into another is used and idiomatic. See, for instance, this article title:
Conole, G.C. and Oliver, M., 2002. Embedding Theory into Learning Technology Practice with Toolkits. Journal of Interactive Media in Education, 2002(2), p.Art. 7. DOI: http://doi.org/10.5334/2002-8.
The literal meaning of embedding is to put something within a substance, as the Oxford Learner's Dictionary explains:
embed something (in something) to fix something firmly into a substance or solid object
[Examples] an operation to remove glass that was embedded in his leg / The bullet embedded itself in the wall. / (figurative) These attitudes are deeply embedded in our society (= felt very strongly and difficult to change).
The title above, as well as your own usage, is a figurative usage that treats practice as a substance and theory as the ideas you affix within your practice. This usage appears fairly often, especially in more academic usage. The Corpus of Contemporary American English shows 9 results for a collocation search of "embedding (something) into":
So something like:
Embedding content into a selected topics course ...
embedding instruction into ongoing play activities ...
means that the direct object (content, instruction, theoretical knowledge) will be a large component of the item named after "into" (a selected topics course, ongoing play activities, practice). So that's how the current usage you have works: theoretical knowledge is a basis for your practice.
Finally, making precise stylistic recommendations is outside of our scope, but let me point out that an existing related phrase is already in usage: "theory into practice" (about 222,000 results on Google Scholar). So if you use that rather than "theoretical knowledge into practice," you'll be using a collocation readers may already recognize.