Your theme will generally use your featured image as a representation of a single post. It might display the featured image in archive pages and even the post itself.
After you add a post, find the Featured Image block. This will usually be near the bottom of the right column. Click the link that says Set featured image – this will open WordPress media handler.
Press Select files, then select an image from your computer.
After you’ve finished upload it, scroll down to the bottom of the upload information block. You’ll see a link that says Use as featured image, click this to set the featured image.
If you want to change the featured image for one of your posts, just repeat the process. WordPress will just replace your old featured image with your new one.