If you are a serious blogger, I strongly recommend you to use Windows Live Writer – it’s the best blogging tool available in the market (free, works only on Windows).
As WordPress has a strong focus on usage of tags (and there are tons of cool tag-based plugins available), it’s really important for you to reap the benefits of tagging.
But unfortunately, Windows Live Writer doesn’t seem to have a default support for tagging and one needs to go to the published post and add tags in the admin console (i.e. edit page).
The utility needs .Net framework (which you will anyways have, since WLW also needs that) and once you run the utility, restart WLW and you will see a field called “Keyword” in WLW.
And now you are all set to use the tagging feature.