ssh-keygen -p -f ~/.ssh/id_rsa
It will prompt for your old (if any exists) and your new passphrase. It will also prompt for the keyfile path (with suggestion) if you do not provide the -f key-file option at all. (~/.ssh/id_rsa is just an example. Could be id_dsa or any other filename as well.)
After adding a passphrase for your existing key, you can use ssh-add so that you only need to enter your password once for a session.
ssh-add ~/.ssh/id_rsa
