I believe that this claim may actually be false. If $A$ is a finite-dimensional $K$-algebra then $A$ is a ring with identity together with a ring homomorphism $\varphi: F \rightarrow A$ mapping $1_F$ to $1_A$ such that the subring $\varphi(F)$ is contained in the center of $A$ (Definition, Dummit and Foote p.342).
In order for $A$ to be a division ring, we must first have that $1_A \neq 0_A$. But if $A$ is a ring with $1_A = 0_A$ (so that in fact $A$ is the zero ring) I believe that $A$ could still satisfy the criterion outlined in the problem. The ring homomorphism $\varphi$ can still have $\varphi(1_F) = 1_A = 0_A$, in fact the counterexample I had in mind was to let $\varphi$ be the zero-homomorphism ($\varphi(x) = 0_A$ for all $x \in F$). Since in this instance, the center of $A$ would be just $0_A$ we would also have that the image $\varphi(F) = 0_A \subseteq Z(A)$.
Is there a reason for why we cannot allow $\varphi$ to be the zero-homomorphism? And if we are allowed to consider the zero-homomorphism, how can it be shown that $A$ is not identically zero?