From the three categories of Wallpaper: Dynamic, Stills and Live - Select Live.
Tap on any Live Wallpaper you want to display. The Live Photo option is selected while you tap on any Live Wallpaper.
You will be presented with 3 options: Set Lock Screen, Set Home Screen and Set Both. Tap on any of the three options and the Wallpaper will be set accordingly. Now return to the Home screen or Lock screen and check the wallpaper. Note that Live Wallpapers only work on Lock Screen and not on Home Screen.