how to add categories at the left side or a sidebar?

You need to add the category list widget to the area where you want it to appear. Appearance>Widgets

Check in the Responsive Theme’s support pages to find out more about your theme’s particular widget areas:

https://www.ads-software.com/support/theme/responsive

You can also, create a custom menu and include your categories in widget area, this way you’ll have a better control over.

Emil