You have three options:
1) lilypond-book: This is a script that comes with LilyPond which
enables you to pseudo-include lilypond scores into TeX documents. It
preprocesses the document to extract the lilypond relavent bits, runs
them through lilypond, and then creates a new TeX document where the
lilypond relavent bits have been replaced by \includegraphics commands.
For more information see:
http://www.lilypond.org/doc/v2.19/Documentation/usage/lilypond_002dbook
If going this route and using TeXShop or TeXworks (on Linux or Mac)
you might find the LilyPond engines for TeXShop useful for
streamlining your workflow:
https://users.dimi.uniud.it/~nicola.vitacolonna/software/lilypond-texshop/
2) lyluatex: This is a luatex package which duplicates the basic
functionality (but not all features) of lilypond-book. Unlike
lilypond-book, this is not a preprocessor, but rather uses Lua scripts
to shunt lilypond scores off to lilypond on the fly and then include
them back into the original TeX document.
For more information see:
https://github.com/jperon/lyluatex
3) manual method: You can also simply run lilypond as normal (or
possibly with settings that result in png output instead of pdf) on
input files and then include the resulting scores in your TeX
documents using packages like pdfpages (for full page inclusions) or
graphix (for including smaller images).