Sleepyhead does work with most recording oxymeters, I use a Contec CMS50E (warning, it requires a special usb cable (provided) to charge it and transfer data) which is pretty good and imports nicely into Sleepyhead. Sleepyhead won't do a direct import, you have to download it to the computer as a file using the included software, then import the file to sleepyhead in the OX section (it is pretty straight forward). Sleepyhead will then combine it with your daily reading based on the time parameters you set in the fingerling before you started recording.
Tip: use some surgical tape to keep the fingerling from slipping or shifting - wrap it around the bottom bit of the the fingerling and attach it to your finger there.
I will look into it