Add the module as usual.
Then drag the module with the mouse while holding down Control. Drag until the cursor is over the wire (the wire will change to white). Release the mouse button. The module will either be insterted onto the wire right away or if there's ambiguity a dialog appears asking for specifying which input and output pin you want the wire to go through.

Please check this:
https://youtu.be/aiG_r6-uU54?t=397

Thank you for this tip but what I was asking is how to add from insert module menu  directly between two connected module s?

You cannot do that currently.