The attenuator receives a signal from your amp head and steps it down to a lower level before it hits the speakers, so you place it after the amp head and before the speakers. Look at the back of your amp panel and locate the speaker cable--this is the cable to connect to the input of an attenuator. You'll need another speaker cable to connect the output of the attenuator to the speaker.
Here are some pointers:
1. Buy an attenuator model that has an impedance matching your amplifier. An 8 ohm attenuator must be used on an amp output rated at 8 ohms, for example.
2. The attenuator will reduce volume from -0 dB to -∞ dB. At -0 dB the loudness is the same as it would be if the amp were running directly to your speakers. At the -16 dB setting, the effective volume will be 16 dB less than your unattenuated volume. As you turn the pot counter-clock wise, the volume drops smoothly down to -∞ dB (no sound).
3. Some attenuators have a Load switch, where there will be no sound coming through the speakers, but the amp will still be safely running at full output. This feature is for the option of recording an amp head direct to the console without using speaker output (such as through a Line-out).
I recommend two models: the THD Hotplate and the Dr. Z Airbrake. I use THD stuff and can attest to its reliability.
Hope this helps!