It usually used as a contradictory response. For example, one might ask me, do you like candy, and I could respond "not in the least", meaning, "no, not at all", "no way ", "not in the most minimal way" (obviously not true. candy is tasty)

"not in the least" is typically used by itself and not a part of a sentence. Ex: Were you surprised to see me? Not in the least. (i.e.: I wasn't at all surprised to see you.) If you really wanted to use it in a sentence, you'd have to change it a bit. Ex: I wasn't surprised in the least.