As you guessed, you need to access me.com via computer browser (preferably Safari) to create Gallery albums. Or you can do it from iPhotos on a Mac. That is the only reliable way. I managed to do it (once) on the iPad using a third party browser set to ID itself as desktop Safari, but the hoops I jumped through and several visits it took do not make for a pretty tale.
Remember, Gallery will be going away Jun 30, 2012. It's probably time to start thinking about what you are going to migrate to, and start using it for future photo sharing.