Hi Testuser,
Basically you can follow the detailed guidance and steps to integrate your applications in the AAD, five-steps-to-full-application-integration-with-azure-ad, this will setup the base layer for your app in the tenant and will give you framework.
Regarding the protocols, I will suggest you to review the scenarios for the app and decide on the approach that is recommended here.
SAML is basically used when you need to provide SSO and OAuth is used when you have rich client and modern app scenarios and RESTful web API access. So it depends on the requirements and your scenarios.
auth-oauth2
Hope this helps.
JS
==
Please Accept the answer if the information helped you. This will help us and others in the community as well.