If you are using the Comcast page building tool and want to click to add, yes, you have to add them to the Photo Gallery. You can leave them where they are, click on their names (yes, individually), and choose Add to Photo Gallery. Despite the message you see, the files stay put. But unfortunately, that isn't enough to get them available in the web page building tool to click to add.
You can edit the HTML and insert them by editing the HTML, but the images need to be the correct size. I tried this and succeeded in getting a couple of pictures on my pages built with Comcast's tool.
Edit the HTML to include each image. Edit this code to have your username and the path to the picture. Case matters. Pictures/Crocus.jpg is not the same as pictures/crocus.jpg.
I thought that the original poster didn't want to put the photos in the gallery. They wanted to link to them. Using the direct URL in HTML as described above will do that. The Comcast page-building tool allows that even though that tool is picky about what HTML it allows. That HTML will also work with other page-building tools.
If you are looking to build a photo album, there are many options. Many people here suggest jAlbum (http://jalbum.net/).