Click on the Gallery component once and then click on Configure icon (wrench) to open the Gallery Configure panel.
Configure the component's header in the Gallery tab and you can configure/add media in the Gallery Items tab.
Use the + icon to add a gallery set, make sure you have provided a gallery set header in the Identifier field.
Drag and drop a thumbnail and fill out the Title or Sub Title for the media.
Select Image Set in the Presentation Typedrop down menu.
Image Sets does not require a link url. User will be able to select images from the DAM. Simply click on + icon below the link field to start adding new image.
Repeat as needed. To add new gallery set, start from step 3, to add a new image to an Image Set, start from step above.