A rather annoying process, although Ghost of Tsushima recently changed that, as the PS5 version of the title would scan the console for PS4 saves, and handle everything directly from that version, which is a great time saver that we hope gets implemented in other titles.
Sadly, Death Stranding doesn't support that kind of save transferring, but instead opts in requiring users to have the original PS4 version installed in order to start the process of transferring a save. However, unlike all those other titles that allow you to upload your saves directly from the main start menu, Death Stranding adds an extra step to this by only making the menu accessible from a delivery terminal. Meaning you'll need to play the game before you can transfer your save.