Please follow these following steps to Setup header image.

1. Go to admin menu >> appearance >> menus
2. Assign menu name and press Create Menu
3. Select display location as either “Primary” or “Side menu” or Both from Menu Setting at the bottom. You can show different menu item in these two different location. For this requirement you need to create two menus with two different name assign to different location.
4. Select menu items from the left list display and press Add to Menu.

Note !! In the free version of new blog theme, you can set 2 level depth menu only.