feat: add datazone domain import documentation (#4777)

Author: danabens

ml_ops/sm-datazone_import/README.md

@@ -0,0 +1,36 @@
+# DataZone Import SageMaker Domain
+
+This example contains python scripts to import an existing SageMaker Domain into DataZone. Intended to be ran by administrators.
+
+## Setup
+
+1. Add the byod service model
+
+```bash
+aws configure add-model --service-model file://resources/datazone-linkedtypes-2018-05-10.normal.json --service-name datazone-byod
+```
+
+2. Create a federation role
+
+This role will be used by DataZone to launch the SageMaker Domain. See [BringYourOwnDomainResources.yml](.resources/BringYourOwnDomainResources.yml) for an example.
+
+### Prerequisites
+
+- SageMaker Domain with users.
+- DataZone Domain and Project with users.
+- Have a good idea on which SageMaker users should map to which DataZone users.
+
+#### Limitations
+
+- DataZone Domain and SageMaker Domain must be in the same region.
+
+### Running the script
+
+Run the script and follow the instructions.
+
+```bash
+python import-sagemaker-domain.py \
+    --region REGION \
+    --federation-role ARN_OF_FEDERATION_ROLE \
+    --account-id ACCOUNTID
+```