The next step is to export the .aaf Go to >File > Export
Note when exporting a .aaf for a "ProRes" AMA linked timeline you can only use the "Link To" method
To create the .AAF file from a ProRes.mov AMA linked timeline
The .aaf for the color correction. Example shown here.
The deliverable for the "Resolve" session will be the folder or folders that contain the ProRes .mov files and the .aaf file
See this link for instruction on how to import the .aaf and media into Resolve.
Davinci Resolve - Final Conform and Color Correction Project Setup - Import .aaf or .xml and Quicktime