These are the steps that I used to get SimpleSAMLphp running with WordPress on OpenShift.
First, copy the files up to the server and decompress them.
$ rhc scp MYAPP upload simplesamlphp.tar.gz app-root/data
$ rhc ssh MYAPP
$ cd app-root/data
$ tar -zxf simplesamlphp.tar.gz
Then, link it to a public WordPress directory e.g. uploads
$ cd uploads
$ ln -s ../simplesamlphp/www/ saml
$ cd ../simplesamlphp
Then, just configure SimpleSAMLphp as usual.
The only key thing to note is that the baseurlpath needs to be configured with a FULL path name. For some reason, SimpleSAMLphp was unable to detect that it was running behind a reverse proxy.