This feature is currently available to Core Design Set customers only.
While you can add sections & elements to your page using the default Oxygen design set library, here's also another way that may improve the user experience, because the preview in Oxygen is just a small screenshot.
You can go to the Core Live Demo page, where you can preview all sections in real time and switch breakpoints to quickly see how they look like on different devices.
In order to copy the section directly to Oxygen, select a section you like, and in the left bottom part of the screen click the "Copy" button.
Go back to Oxygen and click on the OxyNinja button left from the structure button. This will add the copied section to your page.
Note: Based on the browser you are using, it may ask you to confirm the pasting of the copied content. If a prompt with an input shows up, just paste the code from clipboard into the input using CTRL / CMD + V.