In order to simulate pressure sensitivity when stroking a path, select the path in the paths panel, choose Stroke Path from the fly out menu and check Simulate Pressure. Note, it is important to set up your brush (or whatever tool you want to use), as well as its attributes BEFORE you stroke the path.
In this illustration, the first path was stroked with a brush with the Simulate Pressure option unchecked. The second and third paths both had the Simulate Pressure option checked; the middle illustration demonstrating the brushes Opacity (under Transfer on the Brush Panel) set to Pen Pressure , the right illustration demonstrating Size (under Shape Dynamics on the Brush Panel) and Opacity set to Pen Pressure.