I managed to do it. It's quite cumbersome, but if anyone wants to do this:
1. create a new, empty .bat file
2. Add content: 'start "" steam://rungameid/39140' (replacing your game id, without ')
3. Download a BAT to EXE Converter, I use this one http://www.f2ko.de/de/b2e.php
4. Convert the BAT to EXE and add it GameGo. Done.
I tried with just the .BAT-file, it woudn't work. I feel like GameGo could be a great launcher, but it needs so much more work. Sadly there is no development anymore.