How to transfer pictures from camera roll to my albums?

From the iPad User Manual:

From the Camera roll

Tap select

Mark the photos you want to move to a select album

Then select the album

Repeat for each album you want to add photos to.

The previous answers work as long as the album you want to add the photo to was created on your iPad.

If the album was copied from your computer by syncing with iTunes on that computer you need to first copy the photo to the computer and move it to the album there, the do another sync.