All the steps are indentical for the HSM in FIPS 140-2 approved mode. The only difference is that the backup of the entire key database is not possible. In this case the P11CAT or the p11tool2 are used for backing up the keys.
Note that although the integration does not require extra steps, the HSM running in FIPS mode will accept ONLY FIPS compliant parameters. Be careful to select FIPS compliant algorithms, key lengths and elliptic curves when generating new keys. For more information about the FIPS compliant algorithms please refer to the CryptoServer User and Administration Guides.