Ok, that's easy.
Step 1) Go to "Fixtures" Mode
Step 2) Right click on the fixture you want to modify and click "Edit Fixture"
Step 3) On the left hand side of the dialog box that appears, click the Gobo Channel
Step 4) On the right hand side, select the channel value of the gobo you wish to modify and double click it
Step 5) On the dialog box that appears, go to the drop down menu in the top left hand corner that says "Miscellaneous". From there, you can select what type of gobo you wish to add (coloured, metal, glass, etc.)
Step 6) Select which gobo you want to add to that channel and double click it
Step 7) Press "Save" on the Edit Fixture Window to save your changes and exit back to fixtures mode
You should then be able to see your new gobo in 3D View
Regards,
Tim H