As far as i know you need to make sure the cookies domains are the same through out all sites if they are on separate domains and even this can be a bit buggy at times. WPMUDEV.ORG created a sync plugin to sync users across multi sites but as far as a single sign on i really have not yet tackled that before and when i tried it got a little tricky so i just stuck with syncing users across all and if they wanted to sign on another site they could use that same username
