We've covered one way of adding features to a sprint upon creation here.
There are also several other ways of adding features to a sprint:
1. You can assign features to a sprint by simply clicking on the sprint field in the features list or in the feature details settings panel on the right.
2. On the features list tick the checkboxes for needed features and click on the Sprint button to create a sprint.
3. Heading over to the Sprints page and clicking on "New Sprint".
Upon sprint creating you can select the planned start and finish dates, and add features to the sprint by clicking the "Attach Features" select.
In case you're planning to share your roadmap with the world, please check how sprints affect feature placement on the public roadmap in this article.