You can't do it directly when you create a story at the moment.
If you have created the story you can however add a comment and add the attachement there:
in addition to Maartens answer I would like to add that the feedback widget can help you out! Just navigate your pages, whenever you encounter an issue, add a feedback with a screenshot. It is pretty neat, because the feedback items can be changed to stories in your sprintr. Depending on what you selected while adding the feedback, a screenshot is added and as a bonus on top, the story will also be linked to the page where the issue occured. Check it out: