How do you bring that up?
I don’t recall seeing that when I added the image to my build diary last night using the “Attach File” button associated with the post.
Do I need to set up an Album or something?
And then link the images via hypertext to the diary post.
It only applies to images you are loading into the media albums. Click the media menu link above and explore there I think it'll be self-explanatory. You'd then copy the link from the media gallery and paste into your post. Like this: