Hello,
You can follow this documentation https://docs.mendix.com/appstore/modules/saml/
For SSO we actually have 2 modules: SAML and OIDC SSO.
Unless you have specific reasons to choose SAML, I would recommend OIDC SSO.
It's easier to integrate with your IDP (e.g. AzureAD).
https://docs.mendix.com/appstore/modules/oidc/