Asset catalogs allow managing images, app icons, and launch images. Image Set is used for images which are displayed in the app. Universal images are usually the best option. You can either use a vector based image (such as PDF) which will scale for all screens, or include a 1x, 2x, and 3x variant and iOS will select the appropriate version of the image for the user's current device.
You can change the name of any set in the asset catalog by double-clicking on name. Images can be added by either drag and drop or click on the image you want to fill-in for a file picker.