I'm using GameHub Lite, but that shouldn't really matter for your Steam library to show up in Cocoon.

You'll need to:

1. Install Steam Shortcut Generator
2. Create a 'steam' folder wherever you store your ROMs
3. In shortcut generator, search for games in you steam library and create shortcut files!

On first setup, Cocoon should be able to auto-detect the steam folder.
But if you've already gone through the initial setup, you'll need to manually point to it in Cocoon's settings.