When you are in the admin area of your site, from the sidebar go Posts>Categories to see an overview of all your current posts and you can add news ones in there.
Or when you go Posts>Add New Post, then in the Categories Box there is a '+Add New Category' button.
Once you have created you new Category, just check mark it when making a new post. If your post is already published, go to the Posts tab, then hover over your new post and click 'Quick Edit.' You can then change the category to your new one.