This is quite doable, and I do it often. Follow these steps.
-Set up your render elements.
-Set up your render output to save the EXR.
-Click on setup to open the OpenEXR Configuration window.
-Under Render Elements click on Add...
-Select all of the elements from the list and click on OK.
-Click OK again to close the OpenEXR Configuration window.
You are now ready to render your scene to EXR with all of the layers embedded.