To create your first Haptic Scene simply select "New S3DK Scene" at the S3DK menu:
A new scene will be created with "S3DKManager"
The next step is adding the Haptic Device you want to use from the Add Haptic Device Menu :
You could add, as well, these Game Objects by yourself and should have same results. If everything is installed correctly, at this point you should be able to move the cursor included in the HapticDevice prefab.
Just add some GameObjects and you should also be able to feel them. If these ones have a RigidBody component, they will behave physically following the PhysX rules.