...
If you can get away with minimizing the footprint of the SP session to a short-term entry point, then the easiest way to cluster is not to do it at all. Instead, rely on your load balancer to maintain session affinity (so-called stickiness) for a minute or two. The reason for this is so that the message to the SP from the IdP containing the SAML assertion can be processed and the browser redirected to the same server that received it. That redirect will normally be to the "protected" login script and the rest of the traffic should be handled by the application session, so can be to any server.
If you're using Apache you may be able to avoid even that short term stickiness requirement by using proxy session creation.
Now, let's say you can't do that. Now you have to actually cluster the SP's session store. There are a couple of ways to do this. One of them is fairly simple, but requires a private network between the cluster members, and maintains a single point of failure. The other is much more work, and is most likely also going to be a single point of failure.
...