How do I add keys (that I already have) to a packet capture?

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This is on a UN*X, so the command line shouldn't be too painful, although, on macOS, you should install the files that add the Wireshark binary directory to your PATH (they're in one of the sub-packages for the .dmg for newer releases).

And remember not to send the file to anybody you don't want to be able to read the DTLS traffic (and, if you do send it to somebody, make sure they don't forward it).

How would I install the files that add the Wireshark binary directory? Sorry, I am a bit new to this.

Installing Wireshark under macOS - "See the included Read me first.html file for more details."

Source adoc file for the Readme
The Quick Setup section shows steps for adding the Extras to your path but will be easier to read if you have the HTML version.

And, in particular, you will need to mount the .dmg you downloaded to install Wireshark. You may have to download it again; you won't need to drag-install Wireshark again, but you will need to double-click the "Add Wireshark to the system path" package to install it.

Sorry - just now got it - "I am looking only to embed the keys into the pcap file (specifically this DTLS test file) to create one single pcapng file. Right now, the capture and the key come separately."

Try the steps here It's a two step process to extract the session keys then merge them into a new capture file.

(there was a bit of parallel questions - link to the related question )