Step 4: Make it an Animation
Right click on the image, then go to Filters, Animation, Playback. A new window will pop up, click "play" in it, and it should show you what your animated GIF is going to look like. If it looks like it's playing too fast or too slow, we can change that later. If it looks like the frames are out of order, though, you need to need to change that now, so drag the frames around in the Layers window until it looks right.
Once they're in order, close the animation preview window, and right click on the image, going to the animation menu again, but this time click on "Optimize (For GIF)" It will think for a bit, then come up with a new image window. You can close the old one; we wont be needing it anymore.
Now, click on the new window, and you'll notice that the Layers window changes to reflect the new image. In the layers window, the names of the layers each contain "(100MS)." If you wanted to change the speed your GIF plays as, then do it here, by double-clicking on the name of each layer and changing the 100 to another number. Smaller numbers mean faster; larger numbers mean slower.
You may want to preview the animation again at this point, to make sure everything looks right.