I have downloaded a number of widgets.
They run in Dashboard, but I cannot figure out how to add an icon for
them on the Dashboard Widget Bar.

First make sure you've put the files in the ~/Library/Widgets/
directory (that's from your home directory). If you downloaded them
from Apple's Dashboard Widgets page via Safari, Safari probably
already put them in the right place.  You can actually activate a
widget simply by double-clicking on that widget's icon in the Finder,
but if that's not convenient, follow the steps below:

1. Activate Dashboard by pressing the F12 key on your keyboard or
clicking on the Dashboard icon in the Dock.
2. Click on the little "+"-in-a-circle icon in the bottom-left corner
of the screen. It'll bring up a list of installed widgets you can
activate.  Look through the current row of widgets to see if any of
your newly-installed widgets are there. If you see one you want, click
on it.  If you don't see any of the newly-installed ones here, click
one of the arrows to see the next screenful of installed widgets.
3. Once you're done activating new widgets, click the circular icon in
the bottom-left corner of the window again, and you'll be back in
normal Dashboard mode, where you can use the widgets you've activated.