Choosing to embed fonts at a later time can be done.
However, your description of what you are experiencing is odd. If you save the file and open it again on the same computer, the fonts in use should be available and you should have no issue. When a file is sent to another computer that does not have a font used in the file, then an embedded font saved within the file solves a replacement font being used.

Another possible issue/resolution you may need is also in the option. You may need to choose to add Hebrew to the list of "Office authoring languages and proofing"