Here are a few links that should get you started. In this case are you the Service Provider or Identity Provider?
http://blog.tagworldwide.com/?p=19
SAML Service provider with ColdFusion
http://dragonsaber.blogspot.com/2009/09/coldfusion-saml-part-1.html
There's another one here on SO that I can't seem to find that is similar to the first link. I also did a presentation at cf.Objective 2013 that was online in their Dropbox but seems to be gone. Guess I'll have to put that up somewhere for everyone.