This feature is available in Music Pro, Live, Noisy, and Flycase.

By default, if a featured image is set for your page or post, this image will be displayed when you share a link on facebook or google plus.

You can also set a default “share” image.

In Flycase, you can upload your image in the custom options panel -> share tab.

In other themes, you can upload it in the “Share” admin panel.

If you can’t see your new image right away, it is probably due to the facebook cache.

To check which image is used when you post on your FB wall, you can use this tool