To implement Single Sign-On (SSO) with WorkOS, Okta, and Go, you need to follow a multi-step process that involves installing the SDK, setting secrets, configuring the Okta connection, creating a redirect URI, setting up the frontend, and testing the connection. The SSO process can be implemented using either AuthKit or by building your own login box. With AuthKit, you use the User Management API to handle authentication, while without it, you use the standalone SSO API. After setting up the SSO connection, you need to test it using different scenarios such as service provider-initiated SSO and identity provider-initiated SSO. To further secure your application, you should implement logout, add social logins, access control, provisioning users automatically, handle failed authentication events, and more. The process also involves handling the user's session securely with tokens such as an access token and a refresh token.