Same way we use geothermal in or hydro in inconvenient locations today -- make aluminum there, or other energy intensive products. Also water desalination for local use. Maybe synthetic fuels, like hydrogen, or using waste to fuel conversion (which uses energy). Saudi has ok port infrastructure although it is at risk to Iran and Somalia.

Build there a factory that produces a fuel like methane from something like atmospheric CO2 and water, using only solar energy. Ship the fuel around the world.

There is a €400 billion project planned to put solar panels in the Sahara desert to generate power for the EU and surrounding areas called Desertec.

https://en.wikipedia.org/wiki/Desertec