How to enable #ajax callback

Thanks for this wonderful module!

Is it possible to have a #ajax callback implemented. I have tried the following but the callback is not fired after a select change:

  $form['field_my_field']['und']['#ajax'] = array(
    'callback' => 'my_ajax_callback',
    'wrapper' => 'my-wrapper',
    'effect' => 'fade',
  );
  $form['field_my_field']['#ajax'] = array(
    'callback' => 'my_ajax_callback',
    'wrapper' => 'my-wrapper',
    'effect' => 'fade',
  );

Cheers!