On my second playthrough now. First one I decided not to use any weapon mods. Not sure why, just decided to. Anyway, now on my second playthrough I decided to try them out. And now I have no idea how to use them. They just sit in my misc. inventory. The 'use' option isn't highlighted so I have no idea how to attatch it to my gun.
Highlight the weapon to you want to apply the mod, and there should be a button prompt on the right side of the pipboy near where it says equip. (It's a bumper button on the XBOX)