Steps in detail

Prepare makefile

Prepare a Makefile for a Make utility or compose a script that will perform protection for your entire project; make sure that it allows to edit commandline options applied to all invokations of CXX-Obfus in a single place. It will be very useful since you will have to run CXX-Obfus on your entire project several times, with different settings.

Collect names of symbols that should not be modified.

There can be several reasons a symbol should not be replaced with a meaningless string - most frequently case is when the symbol is in external module that is shipped in non-protected form (e.g. some library you don't have permission to modify or functions defined in ActiveX control) or just simply should stay the same because your project is library and the symbols are public entries into it.

There are several options available on how to do this:

You can put all headers of 3rd-party libraries you use in your code to a separate directory, start Project Manager GUI, go to Tools, Extract symbols from directory with source files, enter name of that directory, select symbol types you wish to gather, and get the list of symbols defined in that directory. Then paste it to the list of exceptions.
For symbols that are defined in public interface of ActiveX or OLE component, it's possible to extract names of these symbols using Project Manager. Start Project Manager, go to the Tools menu and select 'Extract symbols from ActiveX components' (this menuitem is available only on Windows platforms). For each component your project uses, select the component, click 'Extract' button, and you will be prompted to save a list of exceptions extracted from the component to the file of your choice. Please note that Evaluation and Demo editions don't offer this functionality (empty file will be produced).
For generating list of symbols from external libraries, one can use semi-manual method - extract all symbols used by your code by running CXX-Obfus over all files of your project with commandline option -D somefile.txt), and then find all symbols in 'somefile.txt' that come from external libraries.
If all symbols start from the same prefix or match some pattern, such filtering can be performed very easily
Produce list of exceptions manually. Sometimes this is necessary even for symbols from external library modules too. Just add them to the file (e.g. named 'symlist.txt') one per line.

Test protection with "lite" protection applied

Apply "lite" protection to your application, and try to rebuild your project with C/C++ compiler. The 99% of the build failures encountered when trying to build protected project is that some symbol from external module was not listed as exception, and got replaced with different name. Once run, you will get errors like "no declaration for: z34ea8c" in places where original code calls "somelib_somefunction" and "somelib_somefunction" is not listed as exception. In order to easily identify that "z34ea8c" should stand for "somelib_somefunction", one should to use "lite" protection, that will make symbols only slightly less understandable, but different from original, e.g. you will get errors like "no declaration for: ReplacementFor_somelib_somefunction", that will signal you that "somelib_somefunction" is not listed as exception. The following commandline will stand for "lite" protection:

perl cxx-obfus -jam 0 -i prefix -n none -s none -e 0

that will stand for "Jam spaces and newlines: off", "Number of encoding iterations applied: 0 - don't encode", "Obfuscation of symbol names: none", "Obfuscation of integer constants: none", "Obfuscation of strings: none" options in interactive online commandline builder.

Once your app works correctly once such "lite" protection is applied, you should apply "final" protection, using options you wish.

If something still doesn't work, make sure you've read recommendations in NOTES section in CXX-Obfus manual.