The first step is to download all your transactions from BitMEX and import them into Koinly. There are a couple of ways you can do this:
Note that if you decide to use CSV files, you have to make sure to import your deposits/withdrawals and trades for ALL previous years - not just the current one!
That's it. Don't forget to tag your airdrops/forks so they show up as Income on your generated crypto tax reports!