Create a new blog post or open the existing one for editing. In the content editor that will open find a featured image section.
By clicking Set Featured Image button you will open a WordPress uploader pop-up. Here you can upload a new picture or choose the one from your library. Select the image and click the Set Featured Image button. Make sure the title and the alt text are filled in correctly.
Please note that the preview picture may be different from the actual featured picture. That depends on your WordPress theme.