If you have a lot of images in your gallery, you should enable the Pagination Thumbnail Creation parameter in Global Configuration before you add images into the gallery.
See: Global Configuration (Parameters - component in menu item)

If you have created a category, you can add images into this category:

Go to: Components » Phoca Gallery » Images  » Click on [New] button. Now you are in Phoca Gallery [New]. You need not to fill the 'Title' and 'Alias' fields, as these will be created from the image name. But you must select the category and the filename. You can type the filename or you can select it from the list. Click on [Image] button and you can select the filename from the list of images. If you are in a list of images, click on [insert image] icon of selected image and the filename will be filled in the form. You can add some description of the image if you want. Click on save and your image will be added into your gallery. In the list of images, you can publish, unpublish, edit, delete the image names.