Tap on the alarm icon on the main screen and read the instructions if this is your first time.
Go to Alarm settings and set either AUTO or ON (dialog) for the type of alarms you want.
Save a new Timer and either set the alarm in the dialog which appears or you will briefly see the auto alarm status panel will appear notifying you that an alarm was set.You can then go back to the alarm screen to see active alarms and / or make changes.
Ensure you iPhone is not set to mute or there will be no sound as well as going to Notifications in your main iOS Settings and make sure the Total Baby is set to the alert type you want and that sound option is set to ON.
From the alarm screen you can also tap on the '+' button (bottom-left) to create custom alarms.