Mmooch - To set up Albums upload your images, using the green "Upload" button on the top banner then click on the "edit" button next to Untitled (see my example below) and change "untitled" to whatever you want to call your album - I used Beach Pics in my example
Once you have changed it click on the blue tick next to it and you're all done and your new album should appear when you click on the link in the drop-down-menu from your profile button. For more albums just repeat the process
Once you have albums set up and want to add to them open the album and use the "+Add Image" button and your new uploads will go straight into that Album