The "sensor" is a pair of metal electrodes (small disks) placed against the skin on the head. Where they are placed depends on what brain activity you are looking for. These two electrodes are wired to the inputs of a high gain differential amplifier. A third electrode is attached (usually) to the ear lobe, or the forehead, and to the common ground of the diff-amp. This helps reduce outside electrical interference. The signals are filtered to separate out the different brain waves (alpha, beta, theta, and delta) from each other and from noise. The particular type of brain wave you select to capture depends on your understanding of which one(s) could be controllable by the person. You need to research brain wave activity.
For EEG circuitry, Google: EEG amplifier circuit.
Ken