There are several ways to play custom WADs:
Just open the console and use the command load my.wad. The wad will be loaded (from the runtime folder; e.g. jDoom uses Run\jDoom\) and when you warp to the level(s) that got modified the data in my.wad will be used. Also see the commands unload and reset, which can be used to remove loaded WADs from memory.
-file option. Add the option “-file my.wad” to the command-line. As you might remember this is how original Doom did it. If you specify no path with the file name, my.wad must be located in the runtime folder (jDoom uses Run\jDoom\).
jDoom.cfg: Add “my.wad” to the DefaultWads console variable string. It will be loaded automatically when jDoom is started.