Thank you all for that help! I never would have guessed that, either. How awkward: you have to go to the shop, right-click the weapon and choose customize (which, until now, just meant: rename) and then you can add it. Yeah, that is amazingly hidden. (Oh, I see that's how you silver a weapon, too! What an amazingly bad interface. I don't think anyone's surprised by that by now, tho.)
On a side now: wow, those shard things are amazing. I didn't realize that heroic/paragon/epic was +1/+3/+5 to all damage for the cost of a 3/13/23 item. Um, yes?
Edit: Wow, it's even better for melee types! Pick up a cold weapon and a 2/12/22 shard for the same effect. You were doing that anyway for frost cheese, right?