When you're looking at your list of email messages, simply drag-and-drop1 one of these messages on to the tab where you want it to be categorized.
That helps train the machine-learning algorithms how to categorize messages. It's not perfect; sometimes you need to have done it several times. Other times it seems to revert. But such instances are rare in my experience.
Below you can see I'm dragging a message from "Updates" to "Social".
(See also "Move messages between tabs" at Gmail Support: Inbox tabs and category labels.)
If you don't want to rely on computer brains to work this out and/or you want to be more explicit about specific messages, "Categorize as" is an action you can take with a Gmail filter. Just create a filter like you would for other messages and choose the category you want.
1 You'll need a fairly modern browser. If you're using something that doesn't support drag-and-drop here, check the messages you want to re-categorize and select the category in the "Move to" menu.