A frequent question I have heard recently from key customers: how can the latest version of Microsoft Project Server be integrated with our existing SAP implementation? I wrote this post Integrating EPM 2007 with Line of Business Solutions such as ERP Systems three and half years ago and the same answer pretty much applies. You basically have two options to connect the two systems:
Purchase a connector from a third party vendor
Built your own connector using documented API
Great starting point are the Project 2010 Software Development Kit (SDK): http://msdn.microsoft.com/en-us/office/aa905469.aspx and this solution from the Project Server 2007 SDK: ERP Connector Solution Starter (written for Project Server 2007 but since the architecture and the extensibility story is the same for 2010 it still applies).
In the end even though you could re-invent the wheel and build your own connector, I highly recommend leveraging an existing partner solution so you can focus on the processes and a successful implementation of Project Server 2010 instead of the technicalities of transferring data between SAP and PS.