Pulmonary Embolisms (PE) are a leading cause of cardiovascular death. Computed tomographic pulmonary angiography (CTPA) stands as the gold standard for diagnosing pulmonary embolisms (PE) and there has been a lot of interest in developing AI-based models for assisting in PE diagnosis. Performance of these algorithms has been hindered by the scarcity of annotated data, especially those with fine-grained delineation of the thromboembolic burden. In this paper we attempt to address this issue by introducing a weakly supervised learning pipeline, that leverages model explainability to generate fine-grained (pixel level) masks for embolisms starting from more coarse-grained (binary, image level) PE annotations. Furthermore, we show that training models using the automatically generated pixel annotations yields good PE localization performance. We demonstrate the effectiveness of our pipeline on the large-scale, multi-center RSPECT augmented dataset for PE detection and localization.