By default, a new gallery will adopt the first image in that gallery as the one to use for that gallery's thumbnail.

To change it, browse to that gallery while logged in.  Then, further browse to the photo that you want to set as that gallery's thumbnail and click on it so that it opens up to show that image.

When you are at that photo, refer to the menu, and go to:

"Photo" > "Set as thumbnail"

On the next page you will get a menu that allows you to select the galleries that should use this thumbnail.  You will be able to assign that photo to be used as the thumbnail for that gallery, and any other "up line" galleries that are parents to the current gallery.

After you make your selection, click on 'Set thumbnail'.   It will now lock in your choice.

Please note: that images can only be used as a thumbnail ONLY in the gallery in which it resides AND  in parent galleries "up line" from it.  It cannot be used as a thumbnail in another different "tree" of galleries.

Alternative Method:  Should you wish to use an image in a gallery as a special thumbnail but NOT offer that thumbnail for sale or have it viewable as a separate image, you can upload that image into the gallery, then (while logged in) browse to that photo's display page directly.  Once there, you can set it as that gallery's thumbnail (or any parent galleries above it) ... AND... then click on "Photo > Hide Image from Viewers." 

Of course, you will be able to see the image while logged in, but anyone else viewing your site will only see it as the thumbnail and not as a photo in the gallery.