If you go to the "Dashboard" page of your account and look at the left side of the page, you’ll see a link called "My Images." Click on this link and you will see a button near the top of the page that says "Upload New Image." Upload your images to this page before you get to the Images page when doing the "Create a Listing" process. You can put captions on the photos and Audiogon will load them into your ad from the "My Images" page.
You're not the first person to have this problem. I don't know why Audiogon doesn't explain this in their instructions for creating a listing.