I logged into the website tonight and went to my account. Next to the main game were two buttons. Download, and transfer. I clicked transfer, it told me this was a one time, one way street deal to transfer the game to steam, I agreed. It gave me a steam key, which I activated in steam and I now have KSP in my steam library. The download button and the transfer button on the website for the game are now gone. So that went fine.
On the same page, on the website, below where I had download or transfer for the main game, there is the "Making history" DLC, which I also own. Apparently because I bought KSP back in the day, I got it for free. Next to it, it has a download button, no transfer button though. So now I have my copy of KSP in steam, but cannot transfer my DLC to steam. The DLC is available on steam for $15 but I already own it via the website.
So I need to do that same thing I did for the game, to the DLC. Transfer it to steam but there is no button to do so.