Current Categories
  Displays a list of the categories currently associated with this story. Click the 'Primary' link to make a category become the Primary category. Check the 'Delete' checkbox and the category will be disassociated from the story when you save.
Search
  Search remaining (unassociated) categories by name.
Choose Categories
  Displays the list of categories matching the search. Click the 'Associate' link to associate a category with the story.

When finished, click Save.