The best way is to send your Microsoft Entra ID (formerly Azure AD) data to an event hub. Then, use the Splunk Add-on for Microsoft Cloud Services to ingest the data (hint: use the azure:monitor:aad sourcetype). Here's a Lantern article for setting up the add-on => https://lantern.splunk.com/Data_Descriptors/Microsoft/Getting_started_with_Microsoft_Azure_Event_Hub...
Alternatively, you can use Splunk Add-on for Microsoft Azure. Use the "Azure Active Directory Interactive Sign-ins" input to get the data. Depending on your environment size, you may hit some throttling limitations with the REST API this add-on uses => https://github.com/splunk/splunk-add-on-microsoft-azure/wiki/Configure-Azure-Active-Directory-inputs...