Open the Equipment menu
Select the weapon you want to modify
Make sure the weapon can accept an Ash of War
Rest at a Site of Grace
Choose the Ashes of War option
Select the weapon
Pick the Ash of War you want to apply
Choose the affinity if prompted
Confirm the change
Equip the weapon in your hand
Use the weapon skill with the weapon skill button
Reapply a different Ash of War anytime at a Site of Grace
Remove an Ash of War by selecting None if needed