When using neo4j for the first time, most people want to import data from another database to start playing around. To create a simple SQL to Neo4j import process possible, Brian Underwood created neo4apis-activerecord. The setup involves installing required gems and configuring a database.yml file. The command `neo4apis activerecord all_tables --identify-model --import-all-associations` imports data from another database into Neo4j. However, there's one small catch: when referencing foreign keys in the imported data, additional configuration is needed to specify the corresponding table names. This can be achieved by creating a config/environment.rb file and defining the relationships between tables using ActiveRecord's API.