To connect using WireGuard in the desktop client, click on the Cogwheel icon and then the Connection icon.
You'll be presented with a bunch of settings for the VPN connection, toggle the option Connect using WireGuard to Enabled to activate WireGuard in the client.
With WireGuard enabled, you'll connect using the WireGuard VPN protocol instead of OpenVPN.
WireGuard generally offers increased connection speed, higher bandwidth, and lower latency than OpenVPN.