From the Course Content screen, click on Add Lesson.
Add the relevant information about your Lesson. Then add the first piece of content that you'd like to add to your Lesson.
Add the content that you'd like in your Lesson and press Save.
You will be taken back to the Lesson editor screen. You will see a new section which displays all the content in this Lesson. Click on another Content Type that you'd like to add to your Lesson.
You can add as many different types of Content to your Lesson. When complete, press the Publish button at the top navigation.