Embedding grid is one of adaptive grids. The study makes the Ni's second-order method of finite volume as a base, adopts first-order difference of density as the characteristics Parameter of detecting shock wave, Presents the principles of local fining grids (one divedes into four)and establishes the data structure of fewer memory. The computational results for solid wall reflection of planar oblique shock wave show that the resulotion of shock wave of embedding grid not only appears to be much better than coarse grid, but also slight better than fine grid, and CPU time is slight higher than half of fine grid. Therefore this method facilitates solving of contradiction between computational effeciency and accuracy.