You'll have to wait until Yusuf teaches you how to do so. You learn it in Sequence 3, Memory 4, "Bomb Crafting".
To be able to craft the bombs, you need to go to a crafting table. They look like little wooden cupboards hanging on the side of a wall, often sitting next to a pigeon coop. The icon is a little white bomb on the map.
I noticed that you can even add more bombs to your inventory from the Weapon Wheel. Provided that you have at least one bomb that you want to recreate (but not at capacity) and you have the ingredients to make it. Open the weapon wheel, select the bomb you want to create and press A (or whatever is appropriate for your control scheme) to Add Bomb. It will add more of that bomb to your inventory.