Does anyone know how Sauron came to Middle-Earth?

[Keeper of Dol Guldur]

The Silmarillion said that Sauron was a Maia of Aule before he turned to evil. If he followed Aule's teachings, that would have meant that he had been in Valinor for considerable time before being swayed, because during the time of the music, there wouldn't have been anything to teach other than song, and Aule taught Sauron the art of craft.

It did say that Sauron was later corrupted by Morgoth, but as far as the Maia he was one of the first. Going from the realm of the Valar to Middle Earth itself, had to take place before the Siege of Utumno, because Sauron had commanded Angband for long years prior to that. How he got there is anyone's guess, typically the Maia had no problems crossing the seas, whether by ship or without. My speculation would say he came across the Helcaraxe.