Modularity is a desirable property for embodied agents, as it could foster their suitability to different domains by disassembling them into transferable modules that can be reassembled differently. We focus on a class of embodied agents known as voxel-based soft robots (VSRs). They are aggregations of elastic blocks of soft material; as such, their morphologies are intrinsically modular. Nevertheless, controllers used until now for VSRs act as abstract, disembodied processing units: Disassembling such controllers for the purpose of module transferability is a challenging problem. Thus, the full potential of modularity for VSRs still remains untapped. In this work, we propose a novel self-organizing, embodied neural controller for VSRs. We optimize it for a given task and morphology by means of evolutionary computation: While evolving, the controller spreads across the VSR morphology in a way that permits emergence of modularity. We experimentally investigate whether such a controller (i) is effective and (ii) allows tuning of its degree of modularity, and with what kind of impact. To this end, we consider the task of locomotion on rugged terrains and evolve controllers for two morphologies. Our experiments confirm that our self-organizing, embodied controller is indeed effective. Moreover, by mimicking the structural modularity observed in biological neural networks, different levels of modularity can be achieved. Our findings suggest that the self-organization of modularity could be the basis for an automatic pipeline for assembling, disassembling, and reassembling embodied agents.