In addition to these written instructions, there is a video that demonstrates how to set up and train SpamSieve with Apple Mail.
Quit Mail. Then double-click the SpamSieve application and choose Install Apple Mail Plug-In from the SpamSieve menu at the top of the screen. When you open Mail once more, you should see three SpamSieve items in the Message menu:

Choose New Mailbox… (or New…) from Mail’s Mailbox menu, and create a new mailbox called Spam with location On My Mac.
Note: The capitalization is important; do not call the mailbox SPAM or spam.
Choose Preferences… from the Mail menu and click the Rules button in the toolbar. Click the Add Rule button. Change the description to SpamSieve.
Note: The description of the rule must start with SpamSieve, but you can add additional text after that, if you want.
Change the Any Recipient pop-op menu to say Every Message. (Every Message is near the bottom of the menu.) Then, next to Move Message, select the Spam mailbox that you just created. The rule should now look like:

Note: Although the rule looks like it will move every message to the Spam mailbox, because you have installed SpamSieve’s plug-in, it will only move the spam messages.
Now click OK to close the rule and save your changes. Mail may ask if you want to apply the rule; click Don’t Apply.
Drag the SpamSieve rule to the top of the list so that SpamSieve will be able to filter all of your mail. If you ever need to temporarily disable SpamSieve, e.g. for testing purposes, you can do so simply by unchecking the rule.

Make sure that the list shows no other rules for processing spam/junk messages. If you find any, disable them (by unchecking them) or delete them.
Delete any messages in the Junk mailbox. The spam messages will move to the Trash mailbox. (If you do not have a Junk mailbox you can skip this step.)
Note: You may want to empty your trash before deleting the spam messages. This will prevent them from being mixed with good messages in the trash.
Go to the Junk Mail tab of Apple Mail’s Preferences window and uncheck Enable junk mail filtering. This will hide Mail’s Junk mailbox (within the next few launches) and disable its junk mail filter so that it doesn’t interfere with SpamSieve.

Now proceed to the Do an Initial Training section.
The keyboard shortcuts for these commands are Command-Control-S and Command-Control-G.
SpamSieve will process new mail automatically. It will also work when your Mac is asleep, if you’ve enabled Power Nap. If you ever need to manually ask it to sift through a mix of spam and good messages, select the messages and choose Apply Rules from the Message menu. SpamSieve will move the ones that it thinks are spam to the Spam mailbox.
The above is all you need to know about using SpamSieve with Mail. The Apple Mail Customization section explains some more advanced setup options, such as configuring the “new mail” notification sound.