This is right, when you use the basic install and use SQL express, the database work is done automagically. Else the installer pauses and tells you to continue only once you've run the scripts.
And once you've installed the 'Primary' SSO instance in a multi-site configuration, every other SSO instance you install will ask for an SSO server to be pointed to, so you can chain them, I believe in the documentation they talk about something like this.
Primary site: London (First SSO Install)
Secondary site: Sydney (Second SSO Install, pointing to London)
Tertiary site: New York (Third SSO Install, pointing to Sydney)
This way, any changes you make can be made in London and manually replicated to Sydney and then Sydney manually replicated to New York.