How to export a module's configuration? I've set up a module on one site and want to export it to another site. From researching, I understand you can use Features to do this. However there is no documentation detailing this.

Any suggestions about how to do this?
Many

Drupalise Me Feature introduction

Phase 2 feature slides.

Code Karate Feature Series Video 

Acquia Video Series

As far my experience features is not just about how to do it, but also how well you do it. Doing it in wrong way can make the development nightmare. Once you get acquinted with features, I would recommend you to look for features best practices. Do's and Don'ts for feature module.