Managed to get this to work using the Dynamic Remote Provisioning.
Used the FM as SP, set it do Dynamic Remote Provisioning with OpenFormatCookie, this redirected the user to a small .Net application where we installed the .Net SDK and the sample, modified this, created the user in a SQL user store, redirected the user back to SP Assertion URL, FM authenticated the user ok by verifying the OpenFormatCookie.
/Jan