To add sticker in any Facebook conversation, you need to click on the emoticons icon at the lower right corner of the chat box. And you will see collection of stickers along with traditional Facebook emoticons.
Also read: Collection of unofficial Facebook smileys
Open any person's chat box and then open the sticker box. Select any Sticker that you want to add in comment and then right click on it. Select "Copy image."
Read: Cool Facebook Chat