Its a little bit hidden...
Open the Object library and go with the mouse over the text "ObjectLibrary" and there will a little + sign showing up -> click it -> give a name and the object in the 3d window will be in your objects library.

You can do it also manually if you put a 3dm and a png with the same name into the objects folder.

I'm using it for often used parts like a srew and i include cutting tools... makes it realy usefull -> to have a better pict of the part (without the cutting tools) i did first a +ObjectLibrary with only the screw and overwrote the 3dm file with the Screw+tools 3dm