Yeah, they don't add the right shortcut when you add that stuff through Steam. You'll need to get the correct "Target" and "Start in" info yourself, which is fortunately easy. So, say you want to get The Last Express or whatever running through Steam. Add that to Steam, then go start menu, all programs, into your GoG folder of TLE and right-click the GoG shortcut of TLE in there. Go into properties, copy everything in "Target," then go into properties of the Steam shortcut version of TLE, paste over whatever is in "Target" there. Do the same thing for "Start in" and you should be all set. Simple!
Thanks! I actually only had the "Start in" part wrong for some reason. And I thought Steam couldn't handle the parameters at all. Good stuff.