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It’s never stated when Kosh entered Sheridan’s mind, it definitely happened some time before “All Alone In The Night” as evidenced by their exchange.
“Why are you here?”
“We were never away. For the first time, your mind is quiet enough to hear me.”
“Why am I here?”
“You have always been here.”
And then again on the station, Kosh’s statement of “You have always been here” is to signify that it was actually him.
So aside from that we have no idea, when it happened.
As for how, well we know that Kosh has touched other people’s minds, like he did with G’Kar in “Dust to Dust”, and we never really learn how powerful Vorlons are telepathically. So it could be that the amount of Kosh within Sheridan was so small compared to the amount Lyta would take on errands with her that he would be able to do it mentally.
Fact of the matter is we have no idea, and unfortunately, JMS has never shed light on it either. Sorry Anon.
G'Kar: And you have no idea how that [black flower] got into my bed?
Na'Toth: Ambassador, it is not my place to speculate on how anything gets into your bed. Your reputed fascination with Earth women, for instance.