It depends on whether you have closed loop reporting set up. If you do, the campaign should be automatically created in Salesforce, and the Salesforce ID of the campaign should automatically populate the appropriate campaign field.
If you don't have closed-loop reporting you have to handle campaign association manually. Create the campaign in Salesforce and click on it to get the campaign ID from the URL in your browser bar. Update contacts using an update rule or form processing step to have this as their most recent SFDC campaign ID. Then when the contacts are published to Salesforce (by putting them in your CRM publish program) they will be associated with the campaign.