First, either create a new page or edit an existing one. Once you are on the edit screen, click the Add Media button.
- Click the Create Gallery link on the left.
- Upload, or select the images you want to appear in your gallery.
- Click the Create a New Gallery button.
- In the right-hand Gallery Settings pane, set Link To to Media File.
- Set Size to Thumbnail.
- Click the Insert Gallery button.
After clicking Create Gallery, you also have the option to caption your images, as well as drag them around to rearrange them.