You can play with friends on Steam just like any other place you can play Sky with your friends. First, you can generate a friend code and share it with your friends via Steam messaging or on another platform. Then, jump into Sky together and you’ll be able to join each others’ in-game session.

More information about adding friends with invite codes can be found here: https://thatgamecompany.helpshift.com/hc/en/17-sky-children-of-the-light/faq/496-how-do-i-add-friends-with-invite-codes/