In a nutshell the process works as follows:
- You load external watchlist data into FSC_ENTITY_WATCH_LIST_DIM
- You create a header and run a watchlist scenario (OOTB SAS10079) against the header comparing your customer data in FSC_PARTY_DIM agains the watchlist data (SAS10079 uses match codes so you will have to create them).
- Normal AGP and alert triage/case management like for other party based alerts.
Have you already consulted the documentation, eg. "SAS Anti_Money Laundering 6.3: Installation, Configuration, and Administration Guide, page 199-240"?