Embellishments are created by involving the notes surrounding chord tones. The example below from Czerny's Pianoforte-Schule Op.500 (1839) shows a broken C chord embellished using the semitones below the chord tones.
An infinite number of combinations can be made with embellishing tones. Despite the fact that embellishing tones in arpeggios are very often found in written-out preludes, piano methods rarely provide specific exercises for this. However, one may find examples where semitones are added in a scale exercise, as in the example below from Adam's Encyclopédie du Pianiste Compositeur (1840).
Some examples for studying common embellishment patterns on a C chord can be found here.