So apparently there is some interest in this. 😄
Here's how I have done it:
First - Setup Authentication to LDAP/AD in Splunk. Make Sure you have the right authorization settings.
Second - Setup The SSO configuration options in Splunk
SSOMode = permissive trustedIP = <your-snat-pool-IPs> remoteUser = <HEADER THAT CONTAINS USERNAME>
Third - Setup the F5 VIPs normally, with the Splunk Search heads as the pool. Using what ever SSO software you want (we used OAM), make sure you set the header that corresponds with the remoteUser setting.
Boom, done! There really is more than that, but this are the simplest steps I could think up.