We did put together a simple sketch for enrolling a new finger via Arduino - its not as easy to use as the Windows program but it does work!

Run the File→Examples→Adafruit_Fingerprint→enroll sketch and upload it to the Arduino, use the same wiring as above.

When you open up the serial monitor, it will ask for you to type in the ID to enroll - use the box up top to type in a number and click Send.

Then go through the enrollment process as indicated. When it has successfully enrolled a finger, it will print Stored!

Don't forget to do a search test when you're done enrolling to make sure its all good!