How do I set up single sign on for multiple WP installs across the same domain?

Let your blogs share the same user table. In your blogs wp-config.php files add:

define('CUSTOM_USER_TABLE', $table_prefix . 'my_users');
define('CUSTOM_USER_META_TABLE', $table_prefix . 'my_usermeta');

Important note from Codex:

Please note that permissions in the user_meta tables are stored with the table prefix of the site. So in the CUSTOM_USER_META_TABLE one must have entries for each site using that table. At the very least for the administrator, to avoid the “you do not have permissions error” you should have:

prefix1_capabilities = a:1:{s:13:"administrator";b:1;} and prefix2_capabilities = a:1:{s:13:"administrator";b:1;} etc