Unfortunately, this is a bit complicated in WooCommerce 1.6.6 still. We feel your pain and have revised the way product galleries work in WooCommerce 2.0 (which is going to be released on Monday!)
For now, you can exclude images by how it is explained in the “Excluding an image from the product gallery” section in the page you linked to: Adding product images and galleries.
…. and I am lovin wc 2.0 so far.. fixed this issue and my add to cart twice issue!!
thanks!