This method is only working with the virtual machine created through classic deployment model.
First select the VM that you want to add an another disk. Then select the Attach > Attached empty Disk.
Next windows, you will be able to find the new disk location and it will allow you to setup a new file name and the size of the disk that you want.
The host cache preference - Host Cache Preference settings for an operating system disk or for a data disk improves performance under some circumstances. Host caching is off by default for both read and write operations for data disks. Host-caching is on by default for both read and write operations for operating system disks.
Log into the server and initialize the disk.
Once you format and assign and drive letter you will be able to use your newly attached Data drive.
If you want to detach the disk, you can select the disk from drop down and click select for detach.