If you've already played, load your saved game, open the Options menu and click "Achievements" This will both open the Trophy Room as usual and add all your Steam achievements. Please note - the game only adds Steam achievements when you visit the Trophy Room, not during the game itself.
If you have downloaded and played the game from GameJolt or Itch previously, you should still be able to download the game on Steam, load up your old savegame file, and grab the Steam achievements - but I haven't tested this. Just a gentle reminder also that Death Has A Million Stomping Boots his Steam in just 2 days!!