Hi
I would do this in two stages.
1. Create the embroidery look.
Below I took some text and clipped and duplicated it.
On the lower layer I clipped a color fill layer (Alt +Click on the border between them) so you see teh down arrow. This allowed me to set the colour.
On the upper layer I right licked and in Blending options added three layer styles. The first a bevel and emboss to give some depth, the second a pattern fill to give a stiched look (I set that effect to Vivid Light Blend mode, the third a stroke (again using a pattern) one set to centre and a slightly different pattern set to outer


2. Once done it is an easy job to turn off the white background put the three layers in a smart object and use Edit>Transform Warp to bend them onto an underlying object
Note - this was just Photoshop. If you have Adobe Illustrator - the method below is better :
https://abduzeedo.com/node/62030
Dave