As a premium member you can already decide when creating a new album whether the sharing is private or public.
If you want to set an already created album to private, you have to select the corresponding album in your photo management and then edit it via the context menu. Now you have the possibility to change the sharing from public to private. By clicking on "Manage access rights" you can unlock selected contacts for your album at any time.
The visibility of videos can be set to private directly during upload.