If your application is built to support SAML, you would add it as a new Enterprise Application, based on the steps found here:
https://learn.microsoft.com/en-us/azure/active-directory/manage-apps/add-application-portal
To expand on the steps if they are not clear, in Enterprise applications, select New application from the top menu, and in the Browse Azure AD Gallery select Create your own application. Select Integrate any other application you don't find in the gallery (Non-gallery), enter the name you want for your application, and choose Create. Note that Azure AD will potentially try to suggest gallery applications to you based on how you name it, but you can just ignore those.
Once it's created you will want to choose to Set up single sign on, and in the new blade select SAML. Here you'll be presented with the process of performing the metadata exchange and/or manual configuration of the SAML configuration, which can be found here:
I would suggest walking through the first link, which will eventually land you on the second link provided, but the doc is designed to walk you through the integration.
Let me know if you have any further questions.