It's really easy: Sphinx has a data import interface called xmlpipe2 which takes an XML stream/file and feeds it to Sphinx for indexing. So I wrote a small PHP command line script that gets all the documents I want indexed from MongoDB and formats them as XML. I gave a talk about it last year:

http://skillsmatter.com/podcast/cloud-grid/mongodb-full-text...

The other aspect of coure is configuring Sphinx. That really depends on what you're doing and want from it. The forums are helpful and the documentation and wiki are superb. Really they are - read them!