Note: It is only possible to add a note to Private/Direct Messages.
To add a note, click on a conversation to see its details - then switch to the Note tab down near the reply field.
The background will turn yellow, indicating you're writing a note and not a reply.
Note: All internal notes will be visible in the conversation thread. They will have a yellow background to differentiate them from actual replies sent to users.
This will only be visible to you and your team - the user you are having a conversation with won't see the note.