How do I add a password to an OpenSSH private key that was generated without a password?

Try the command ssh-keygen -p -f keyfile

From the ssh-keygen man page

 -p      Requests changing the passphrase of a private key file instead of
         creating a new private key.  The program will prompt for the file
         containing the private key, for the old passphrase, and twice for
         the new passphrase.

 -f filename
         Specifies the filename of the key file.

Example:

ssh-keygen -p -f ~/.ssh/id_rsa