Navigate to the course page, click on the Edit mode button to turn editing on.

Edit Mode button

Navigate to the section of the course you wish to add the Moodle Lesson to, click on the Add an activity or resource button on the bottom of the section.

Add activity or resource button

Select Lesson from the activity chooser list:

Moodle Lesson activity highlighted from the activity chooser list

You will then be redirected to configure the settings for this Moodle Lesson.