Please make sure, you are following the steps mentioned below:

1) In 3D view, select the "Find Applied"  (a pen-shaped icon).

2) Then select the material that you want to apply from the materials palette on the right.

3) Drag the material out of the palette (by holding down left mouse button) and drop it on the object/entity in the 3D view where you want to apply the material. It will open up the menu for you to choose how to want the material to be applied.

Please see attached video for reference.