With 20 Basic Parts nearby the sentry, alt+left click on the sentry with the toolbox to begin modifying it. There's a drop-down with different sentry types, as well as device stats you can alter by adding or subtracting points from different stats.

For TNT and C4, hold E to pick up the explosives, then release E to stick them to stuff. They can be activated with alt+e or jmod_ez_trigger after that.