The first step is to ensure the engine is warm. Because we will be pumping air into the engine, leave all the spark plugs in except for the cylinder you're testing. As an example, let's start with a Toyota engine, for cylinder number one. Pull the spark plug out of the cylinder and turn the engine over until the piston is at top dead center (TDC). If you have balancer marks every 90 degrees, this will help. Now install the air-fitting adapter into the spark plug hole. You'll also need a breaker bar or ratchet and socket for the crank nut. Remember to double-check that your gauge reads zero before you start.
There are three major leak paths where cylinder pressure can escape: past the rings, the intake valves, or the exhaust valves. We'll ignore the head gasket for now. With each of these three leak sources, it's easy to tell where the leakage is originating with some sleuthing. If you can hear a hissing sound coming from the valve cover breather hole or from the dipstick tube, then the air is escaping past the rings. If you prop open the throttle blades and hear that same hissing sound, then the pressure is leaking past the intake valve. If the air is escaping past the exhaust valve, you will probably be able to hear the air even as far back as the tailpipe.