Social Media Icons on Primary Menu

I’ve carefully read the read me TXT that says:

“In your Menus panel on your dashboard, click on the arrow for each menu item to open the details box. You should see an option for *CSS Classes*. If you do not see this option, click the *Screen Options* link at the top of the page and make sure *CSS Classes* is checked in the menu that opens up. To specify which icon will display, enter the corresponding class name in the CSS Classes box. Please note that these class names are case sensitive. The corresponding class names are: facebook, twitter, vimeo, feed, pinterest, google-plus, wordpress.”

This does not work. I have done exactly as it says. Please help