To include a slider in your theme you can use the shorcode:

[yith-slider slider="xxxx"]
where xxxx is your slider ID.

You can get the right shortcode to use from Dashboard > Sliders > All Sliders screen.

Copy that code and paste it wherever you want in your site.

YITH Proteo theme

If you are using YITH Proteo theme, you have the opportunity to easily set a slider in the header section of every page in your website.

Edit your page and look for Header slider option in the Document sidebar.

Choose between a list containing all your created sliders.