You need to apply materials through the Style Manager.
So for instance, you want to add a material to a Wall, go to Style Manager > Wall Styles > Materials Tab. Click the "Add New Material" icon to the top right. Click the "Edit Material" button just above the Add New Material icon, click the "Other" tab. This is how you add your Material and settings for that material. When you accept all changes, make sure under the "Material Definition" column you use the Dropdown menu to select the correct material for each Component you create.