Probably by going the same way as Zoroastrian
Have one of the Sassanid shahs to get acquainted with christianity, and if he likes it, he might support them
Problem is that the people (especially the noblemen) might not like it, and it would merge the country in a civil war. And like always: if the shah with his new religion wins, then people might see that "God" wasn't on their side and convert one by one (or the shah would try "convert or die" policy like Charlemagne)
Zoroastrian was the state religion and played a part in the Persian identity. Missionaries will endanger their lives if they tried to convert the whole empire by approaching the "weak and unfortunate". They have to do it from the top, and they have to win.