Warning: in some case the change value will be shown on the Nano S screen instead of the payment value. This will be fixed in an upcoming release on the onboard Bitcoin app.
First, you need to create a new account: select the "Accounts" tab and press the "+ key" button
Select the "Advanced" option:
Connect your Nano S to the OTG cable, enter your PIN and select the Bitcoin app:
Mycelium will then sync and explore your accounts:
After a while, all your accounts will be shown and you can select which account you want to import:
You can of course restart this process and import as many account as you wish.
Once selected, your account will be added, you can select it as the default accont and use Mycelium normally:
Your Nano S will be required only when you wish to sign a payment. The transaction will be validated directly on screen.