When you create your post, you will see "Featured image" on the right hand menu.

Click on "Set featured image", which will open a menu directing you to the media library, which is where you can either upload or select an existing image to use.

Once you have selected your image, click the blue "Set featured image" button.

You have now set a featured image for your post, if you are using this for front page news, make sure to also select "Front Page News" in the categories menu.

Once you have finalised all of these details, click publish.