You can configure SSO using the Directory Sync tool called these days as ADCOnnect. Earlier it was with the name of DirSync. This tool you need to install in your one of the on-premises servers and it will connect step by step to O365 and you will get option
to configure SSO while configuration.
http://blog.hitechcandy.com/index.php/2018/09/15/azure-active-directory-single-sign-on-using-azure-ad-connect/
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