This is not something that is currently supported in WordPress. There's some discussion about it here: http://core.trac.wordpress.org/ticket/6820
One plugin which does enable this functionality is:
This plugin does a few extra things, but one option it provides is that after clicking "upload/insert" and going to the media library tab, you can tick check boxes beside images and choose to attach them to the current post.
There's also an old thread on WordPress support forums which pertains to adding a small bit of code to your functions.php file to enable this functionality but I think that only works within the Media Library section, not when in the Upload/Insert thickbox, so the above plugin might be your best bet.