There may not be a howto for the Drupal importer, but they pretty much all work the same.
It’s usually best to do it from a development environment (there is a docker version).
If you want wordpress to be the SSO master you’ll need to import users to wordpress too. Users should get matched up correctly.
Depending on why you want sso, you might let WordPress be the SSO client and not have any worries about importing users to wordpress.