There doesn’t appear to be a way within settings to add a user image to the gdm user login screen, but this can be resolved in a simple way:
Get your image or avatar, make sure its a sensible size e.g. 96×96 pixels.
Copy it to your home directory
Rename it .face
Logout and then see your new avatar on the login in screen.
The same icon also shows up when you go into Users and Groups.