If you're on Froyo/Gingerbread (Android 2.2-2.3), you will not have a drop-down option. For Froyo/Gingerbread, follow these steps to select Swype Beta as your active input method:

1. Open a text field
2. Long press on the text field
3. Observe: a list of input methods/keyboards appears
4. Select "Swype Beta"
5. Done!