You can't run them with Sense. You can run them with that ROM, but it involves some more work.
You need live wallpapers.apk and live wallpaper picker.apk
You need to download some from the market
You need to go into settings, applications, manage applications, htc sense, clear defaults
exit
it will ask you which home you want to use, select HOME
long press background, wallpapers, live wallpapers, and select one (not all are compatible) set as wallpaper
There is an HTC sense live wallpaper as seen on some other phones coming out, but to my knowledge, they haven't been ported over yet.