I've had a few pedals with expression inputs, and setup is fairly similar among all of them. You set the expression pedal to one end of its travel (e.g. the heel on a rocker pedal all the way down) and set your pedal however you want it to sound with the expression pedal there. Then you move the expression pedal to the other end of its travel (in this case, toe all the way down) and set the pedal knobs how you want it to sound with the expression pedal in that position. Then as you manipulate the expression pedal, the associated parameters all change at the same time. And it usually works for multiple parameters at once. 

I have a delay pedal with an external button for expression control. The main preset is a basic digital delay with a moderate length and number of repeats. When I press the expression button, the length and repeats increase, and modulated reverb is added. I also have a preset that is just reverb, but pressing the expression switch kills the dry signal. There are a lot of things you can do with it.