You could read the theme description and follow the instructions provided there.
Showcase page template
When you first activate Oxygen, you’ll see your posts in a traditional blog format but if you’d like to showcase your content in an online magazine-like fashion, then you can use the Showcase Page template.
The Showcase Page template offers a featured slider for Sticky Posts. To use the template, create or edit a page, and assign it to the Showcase Page template from the Page Attributes module. If you’d like use the Showcase Page template on your front page, go to Settings → Reading and set the Front page option to Static Page. Select the page you just assigned the Showcase Page template to as your front page and then choose another page to serve as your blog page.
template > http://en.support.wordpress.com/pages/page-attributes/#template
setting a Featured Image > http://en.support.wordpress.com/featured-images/#setting-a-featured-image
designating a sticky post > http://en.support.wordpress.com/posts/post-visibility/#sticky-posts
The front page of the blog by default will display your posts (not pages) in reverse chronological order, with the most recently published post on top. If you do not want all the posts to show on the front page, then you can create a static front page “Welcome“ for your site and a “Blog” page for posts. http://en.support.wordpress.com/pages/front-page/