When creating a Private Gallery, you are given two options for adding images: Discover Photos or Add Photos From your Library.
The first option allows you to curate images that are already uploaded to 500px, while the second option allows you to choose an image from your Photo Manager to add to the private Gallery.
If you wish to keep images private, but also add them to the private Gallery, simply choose the Add to Library upload option in your Photo Manager. You can upload to your private, All Photos folder by selecting All Photos on the left hand side of your screen and then choosing the upload button just above.
Once the image is uploaded to All Photos only, you can select the image and then add it to your private Gallery using the Galleries drop-down menu on the right hand side on the screen. Remember to hit Save when you're done!