There two ways to add products to a list:
1) In the product gallery
2) In the list itself
In the Product Gallery
When you are in the product gallery you can select one or more products using the checkboxes. You will see the "Bulk Actions" toolbar appear at the top with an action bar on the right.
Select "Add to List" from this menu.
In the List Itself
When you are in a list, you will see an "Add Item" button above the area where the products begin.
Search for the item you would like to add and then click the "Add" button next to the appropriate item.