If you ever want to add a second object and have that independent of the first, go to Object Mode, hit Shift + A and select your object from the list. But if you want it dependent, stay in the Edit Mode and click Shift + A.
Alternatively, in Object Mode, left-click to select first object, next hold Shift and left-click to select another object (or more), then hit Ctrl + J to join all the selected objects.
