A tag page refers to the pages where all the posts sharing the same tag are. You can not only make a fancy gallery using this page, but also sort your posts, and create a link for this page.
You may have noticed that Tumblr is way too limited if you are using it as your website. To extend the usability, tag pages play an essential role, and it's simpler than creating a new custom page, and write some codes to create a gallery page.
Good question! If you are looking to tag your existing posts, use Tumblr's mass post editor. It's cleaver to use this tool rather than to tag each of your posts. If you are creating a new post, and would like to display it on your tag page, just tag your post like the screenshot below.
Technically, you are done. Now view your posts in your tag page. Here's the URL structure.