Putting an image in a post and making it a Featured image are two different things. You can put the Featured image in and it’ll show on the main blog page without showing up in the post.
Ah right, none of mine are going in as featured images then, any idea what I might be doing wrong? When I add an image that I want to be featured I’m clicking on the ‘Set featured image’ button in the bottom right of my dashboard, moving over to the URL tab, filling in URL, Title and generally using an alignment. Hope this sheds some light on how I’m not getting this!