At times, I'm applying from the Settings menu (Display > Wallpaper > Live Wallpaper), and at times I apply it from the app where some of the live wallpapers (which I got from Google Play, in particular) can be activated.
EDIT:
I'd suggest using the in-built 'theme' app to apply anything you wish to. I don't really remember if you could apply live ones too from there but I remember there being no issues with anything that I apply via the theme app.
Oh, and it seems like I can't apply live wallpaper from the theme app.