Albums are a great way to organize your images, into collections meaningful for you and your followers. First select the images you would like to include in the album, and then click the Create Album button on the Manage Images Bar on the right side of the screen.
Once you have clicked, "Create Album" a window like the one pictured below will be displayed. Here you can name your album as well as set its privacy.
Note that you can also add your selected images to an existing album. To do this click the "Add To Album" button on the top right of the window. You will be given a list of the available albums to add the images to.