It depends on what version of WB you're using. Pre-WB12 you need to create the material cards OR import them in the form of a .CDB file from ANSYS classic. WB12 and up you edit the Engineering Data and input your properties for the various materials after dragging over the property in question (like density, isotropic elasticity, etc).
In either case, once you have the materials loaded into the model you left click on the body name under GEOMETRY - [filename] - and in the Properties Box you'll see MATERIAL-ASSIGNMENT and there you can choose any material you have loaded.
Rinse-repeat for each body/material combo.