I just applied last week. The Frequent Visitor sign-up booth is directly behind the immigration lines. You'll need to immigrate using the old fashioned way. Signing up took around 10 minutes in my case, most of the time spent waiting for the staff to finish the paperwork. You'll have your picture and two fingerprints taken.

When you exit the first time you will still have the copy of the immigration paper slip in your passport. You can use the E-Channel and return it to one of the officers standing behind the gates. I was kinda pessimistic and used the regular lines as I had some bad experiences with leftover I94W forms upon US entry.

Note that you cannot use the E-Channels for travel between Macao and Hong Kong. Other than that it appears to be a great benefit.

Perhaps SMK77 knows an office location before you clear immigration.