We did this implementation for many clients. Once you got all the setups and creds on workday side, you connect to their DB and recreate the workday tables in the OS as custom tables (select * into...). Essentially you use connector BR that feeds the data into the respective data source.
Please pay attention to the parameters you need to call (for example for the terminated employees table). Sometimes you need them sometimes you don't. A workday admin will usually provide you with the list of the links to every particular table including required parameters and their format.
Pay very close attention to the date formats in parameters (as mentioned above), case used (workday is painfully case sensitive) and underscores "_" in the table names that you will be querying. They might be weird and sometime double, which isn't always apparent to a naked eye 🙂
Other than that, the scope and solution to workday integration is much more that can be covered in community thread. But to give you the general idea, for the sake of good coding principles (separation of concerns primarily) a data management sequence calls an extensibility business rule, which in turn executes connector business rule, that references finance BR library.