The authenticator I ordered for my wife arrived recently and we set it up. It comes with a slip of paper with a web address to visit. When you go there, it asks you to log in and then you add the 10-digit code from the back of the device.
After that, every time you play World of Warcraft it asks for your normal password and follows with a box asking for the code from the authenticator. Press the button on it and enter the code. Log in and done. Couldn’t be more simple.
Wouldn’t complain if it had backlighting though.