When you create an ad unit, you'll see HTML code that you need to copy and paste into your website. I'm not too familiar with wordpress, but I'm sure you can use a plugin or something that allows you to directly insert HTML into your website. You can insert adsense code there. Just make sure its inserted in such a way where it does not violate adsense policies.
Once you done that, test your page. The first few times the page is loaded, you might get a box containing your browser message that states the page could not be loaded instead of an ad. This is normal until either some time has passed and/or enough visitors visited the site. You know you're doing well when you actually see an advertisement, especially if the advertisement is on-topic with your site.