How do I add categories to the blog?

In Feeds, you can add and modify the Categories by clicking the "Categories" button on the upper right corner in your Feed control panel:

Otherwise, you can create a separate page for each category and put links to the appropriate blog posts (or pages). On the corresponding pages, go to Page settings → Additional → fill in the Subtitle field. It will be used as a category name.

You can also use block IX01 to specify the desired pages.