There is currently no "intended" way to do it. The Matrix type does have InsertRow/InsertColumn methods, and there has been some demand to add an Insert method also for the Vector type. I've just opened a new ticket #159 to track it.
In the meantime, you could use the following routine (I'm using v3.0.0-alpha5 here):
Vector<T> InsertAt<T>(Vector<T> v, int i, T value) where T : struct, IEquatable<T>, IFormattable
{
var res = Vector<T>.Build.Dense(v.Count+1);
if (i > 0) v.Storage.CopySubVectorTo(res.Storage, 0, 0, i, true);
if (i < v.Count) v.Storage.CopySubVectorTo(res.Storage, i, i+1, v.Count-i, true);
res.At(i, value);
return res;
}
var v = Vector<double>.Build.Dense(5, i => i);
var vx = InsertAt(v, 5, 100);