How to get my custom categories to appear in the sidebar?

Hi..thanks...how do you save into the different categories? I don't see a list of them anywhere. If I select an item and right click into Edit mode, I've added a field, and for example, I create Financial as a category, but that does not appear in the sidebar categories list. This seems to be a very hidden feature. This feature should work by allowing any item to be assigned to a category, but I happened to notice Add New Item in the drop down menu. That seems opposite of how this should work. Or, that action should say, Add a New Category (from which you can assign different items too). I have hesitated to use that menu command, not knowing if it will create something I don't want cluttering up stuff. Anyway...hope you, or someone, can shed some light on how this Category thing works. It's a mystery to me.