Is there any reason you don't want to install the SSO role on the VC servers locally and having the database elsewhere?
You can setup the deployment as multi-site so local logins are faster and there's less of a single point of failure. If you lose the SSO server, you can't log into any of the VC servers. You can still link the VC servers, etc. I just prefer it.
Anyway, during the SSO install you'll be prompted to run the scripts to create the tablespace and users, you can either do all the database work before beginning to run the installer or you can wait to run the scripts when you're prompted during the installer.