This can be done but not directly.
Take the MSO that you'd like to put into another MSO and anchor it to an
empty text frame. Then add the text frame to the MSO.
I have been trying to do this with no luck...what are the steps to follow to anchor the mso to the empty text frame?
@hooplife – there are two solutions:
1. InDesign CS5: copy or cut the MSO to the clipboard, paste after selecting the one and only insertion point in the empty text frame with your text tool (= double click the text frame with the selection tool). You can change position of the inserted MSO by using the anchored object options.
2. InDesign CS5.5 and above:
if you select an object you may have noticed that there is a new control on every object: the small blue square. Hover your mouse pointer over the square and just follow the instructions of the tool tip.
In case you have disabled the tool tips function:
Simply drag the little blue square to the one and only insertion point in the empty text frame.
Use shift + drag to get the same result like pasting the MSO to the insertion point or:
use alt + drag to immediately getting the options for anchored objects.
You do need to have frames visible in order to do this.