SIDEBAR: Spend a few minutes in a regular old search working out how you want the data to come out. It'll likely be some variant of | inputlookup mylookupname followed perhaps by some fields or table commands. Remember this search, or save it off, or copy it into Notepad - something.
The last piece of prep to get into place is build a table in SQL for your data. You will have to look at your source data to figure out field types, sizes and so on. Make sure the user you set up in identities has permission to write to this table.
OK, now that we have all the plumbing in place we can get started.
Open up your DB connect app, go to DB Outputs and start following the output wizard. Most of this is pretty straightforward. You'll want to use the search you created in the sidebar above as your search, make sure to click on each field so they'll all be included in the output. Pick your destination server/schema/table and then assign fields as appropriate. Your execution frequency is, I believe, not important for your exact use case but since it is required, set it to something like 80000 seconds (that way you have nearly a whole day to finish the step below... 🙂 .
So save it and watch it run. Keep your eye on SQL until the data is all across. Once it is, go to your Splunk DB Connect outputs and disable the input. Since you are just moving data out once, you don't need it scheduled.