Hey - feel free to ask more if this doesn't make sense.
First, your screenshot is on the wrong page. That is the cosplaycp page. You need to be on the photos page.
To get to the right page, go to your photo gallery. Just click "photos" and then "my gallery" . Now, at the top of your gallery page, click the album admin button.
THEN you'll be on a page which will list your galleries. Looking at your gallery, I see you have not made any galleries, so just click the "create gallery" button. Then you should make a gallery for your costume. One of the choices will be "association" which will have a drop-down menu listing your costumes. Choose the costume which matches the album.