It's not too difficult. However It is turned off by default in /etc/kde4/kdm/kdmrc
At the end of that file you'll find:
As root, edit the False to True and restart the X server.
Because dbus is used to start KDE4 applications, when running them over ssh -X or ssh -Y thistim@musicbox:~$ dolphin
won't work. you need to usetim@musicbox:~$ dbus-launch dolphin