Authenticate using Auth0 and associate with local user

We have a MVC 5 application that already have users created in a local database. These users all have primary keys that are used for relational integrity in the database. When using Auth0 to login a user how can I associate this authenticated Auth0 user with an already existing local user?

I have used the “quickstart” example (Auth0 ASP.NET (OWIN) SDK Quickstarts: Login) to test and tried to use the “/callback” as the RedirectUri. Even if I created a route to redirect this uri to a controller action, the action is either never called or when it is called the User object is not authenticated.

I am at lost on how am I supposed to know when a user authenticated by Auth0 return to my application so that I can add claims to the user object from the locally stored user.

Please advise!