There are two ways you could do this. You could measure it between the battery and esc or between esc and motor. With the volt meter, you will want to set up the meter to read Amps, DC. Make sure your leads are in the right position on the meter. Then, on either the positive or negative side of ONE of the wires... you will need to interrupt the circuit. The meter will be the device completing the circuit. For example... From the ESC to motor. Take positive wire, cut it, put red lead from meter on one side, and black lead from meter on the other side. This will essentially, complete the circuit.
Here is a picture