The first - and in most cases, the only - step is to download all your transaction data from CEX.io and import it into Koinly. There are a few ways you can do that:
If you decide to use CSV files, you must make sure to import your deposits/withdrawals and trades for ALL previous years!
That's it. The only other thing to keep in mind is to tag your airdrops/forks so they show up as Income on your final crypto tax documents!