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Use the point command. then select the spline, select point type to "on curve" then move the blue point where you want it to be placed. then click OK.
There are a lot of option other than that. but thats the simplest way i guess.
These steps work with a Spline made in GSD workbench, as well as a Spline made in a Sketch:
Suppose you want to add a point between the first and second points and another point between the third and fourth points of the existing 4-point spline.
1. draw the new points as nocturne27 suggested, or any way you want
2. double-click on the spline to edit it. The Spline Definition window should pop up
3. select the first point in the list, and choose the POINT AFTER option, and select the point between 1 and 2
4. select the last point in the list, and choose the POINT BEFORE option, and select the new point between 3 and 4
5. click OK, and the spline now has two extra points