How to configure Zwave Devices with Alexa?

You need to add a tag to your items:

http://docs.openhab.org/addons/io/homekit/readme.html
For example,
Switch TestSwitch "Zwave Testswitch" { channel="zwave:device:xyxyxyxyxyxyx:nodexx:switch_binary" }
becomes
Switch TestSwitch "Zwave Testswitch" [ "Switchable" ] { channel="zwave:device:xyxyxyxyxyxyx:nodexx:switch_binary" }
then let Alexa search for the devices again.