Depends on what you're looking for. Adding a page with a "privacy policy" is fairly easy: just select "page" from the drop-down menu for "type" ... which I think needs to be done from the 'expert' tab instead of the 'simple' one - when you make the post. It'll then link where you have your "Page list" widget located.

If you mean what should your privacy policy be, well, that's totally different and entirely up to you.

Thanks a lot! Will try!