I don't think there's a specific way you have to use OWL to build an application. Hell, you don't even need to use it to have built a semweb application.
Generally, I think there's a couple ways people tend to use OWL. I think one of the primary ones is for reasoning. They define concepts important for their application using one of the OWL2 profiles and then use a reasoner to infer new knowledge based on their ontology. There is even some work now in using OWL ontologies as schemas for integrity constraints.
In other cases, people use it as a documentation artifact to just be able to outline what it is that is in their data, but they don't use it more formally than that.
There are some piecemeal use cases in between, and there are similar uses for RDF schemas which can be use like OWL ontologies, just with a lower level of expressive-ness or something like SKOS which can be used to simply define a taxonomy within your application without any formal expressivity attached to it.
Getting Protege going is a good start. That will let you explore some of the basics of building an ontology and most of the reasoners are available as plugins, so you can also explore how you can build your ontology and what kind of inferences you can get as a result.
Once you have an ontology, if you want to use it for something other than documentation, ie reasoning, you'll have to load it into a reasoner (Pellet, Fact++, RacerPro, HermiT) or a database that does OWL reasoning (Stardog, OWLIM). If you're not worried about reasoning, then you can drop it into any triplestore out there, access it via Sesame or Jena (if you're using Java), and still be able to query the explicit facts via SPARQL.
So I guess the short answer is that there is not a correct way to use OWL, it gets used in a variety of different capacities. One think you might find interesting is the W3C keeps a page with a list of semantic web applications. These case studies talk about problems companies had and how they approached solving them using semantic technologies. You can read through a few of them to get a better idea of how folks in various industries are making use of the technology.