How do I enter/use my iCloud email address on my MAC?

Are you trying to use it as an email account? Go to Mail/Preferences/Accounts, click the + sign at the bottom left and set it up as an iCloud account. After entering the email address and your Apple ID password, the setup should be automatic.

If you don't want to use it in Mail, where do your want to use? iCloud? Messages?

You set it up like any standard IMAP email address.

Read here: Mail server settings for iCloud email clients - Apple Support