Select OK. (Selecting Don't Allow, means you do not want your location to be seen by your followers, and will prevent you from being able to use the feature.)
Once you've selected OK, you will see your location just below the box where you type your Tweet.
You can turn the location feature on and off by tapping the location button on the bottom of the Tweet box (also pictured below). The button will be highlighted when the feature is enabled and gray when disabled.
How do I use the location feature?
Once location is enabled, post your Tweet as you normally would. Your location will appear with your Tweet, as highlighted below.