What is the correct order to turn on multi-domain SSO?

I've tried numerous ways to get this to work but still have had no luck getting SSO (single sign on) to work with multiple domains on the same WordPress multisite install. Looked in the forums here and elsewhere but no good documentation on the order in which to do things (since that seems to be important according to some).

I'm able to get 2 domains on the same install, and can login and logout of each of them without problems. But, I can't login to one and then login to the other, the SSO part doesn't work like that. I have to login twice every time, and avoiding that issue is the big reason for setting the site up like this. Can anyone help out?

They are two different domains (not sub-domains) and everything else works fine but I have to login twice to access the admin area of the 2nd site.