The fingerprint scanner on the Galaxy S6 is way more efficient than the Galaxy S5 and you need to do as follows to setup fingerprint on Galaxy S6:
1. Open Settings application
2. Tap the Lock screen and Security, under the Personal tab
3. Under the Security options, tap the Fingerprints option
4. Since this is your first time opening this menu, you are asked to place your finger on the home key to register it (you no longer need to Swipe your finger on the Galaxy S6)
5. While registering your finger, you may need to lift and place it more than one time and slightly move your finger to complete the process (Be patient!!)
6. After the scanning is finished, you are asked to provide a backup password, in case something goes wrong
7. Your finger is successfully registered
** Note that you can register up to 4 different fingers on the Galaxy S6