A p12 file contains a private key along with its certificate. As you said you can use sapgenpse to convert it to PSE format, which is just a container for private keys and certificates.
sapgenpse import_p12 -p SAPSYS.pse <myfile.p12>
Then you can import the PSE file in STRUST, be aware STRUST is not very user friendly as most basis transactions. To use it for https, you have to save the pse as SSL Server and restart the icman afterwards. An important prerequisite is the installation of the SAP cryptolib, otherwise you won't see the entries in STRUST at all.
Cheers Michael