Step 1 - Log into the website and click on Posts.

Step 2 - Locate the post you'd like to add a featured image to, then click Edit.

Step 3 - Scroll all the way to the bottom of the post, and locate Featured Image.  Click Set Featured Image.

Step 4 - Choose the image you'd like to set from the Media Library, or Upload the File from your computer.  Click the blue Insert Into Post button.

Step 5 - Scroll back to the top of the page, and click the blue Update button.