How do I use it? I have no clue.

Go up to your companion and 'use' them. Just talk to them, the wheel will pop up.

Then select your required option.

Not exactly sure what you mean...

Talk to your companion to bring up the wheel, then use the left stick (console) or cursor (pc) to go to the option/command you want.

I believe you have to hold the desired direction on the console, not just scroll through.

Aim left stick add desired option. Option will show what you can change it to. Select the option to switch it.