So recently I've been trying to find some source on finding out how to get the custom skins over to the Steam version of Hole Dweller, There's no definitive answer I've could have gotten so I took it upon myself to figure it out. Since the data between HoleDweller43 (Itch.io version) and the Hole Dweller (Steam version) are the same, all you really need to do is open up both HoleDweller files side to side and move over HoleDweller43 Data and Option Files over to the Steam version and you'll have the custom skins from there on out. Though I'm not sure if this impacts your save your save or not but hey, anything if im able to play as Zoroark in the Steam version again!
If things goes wrong on your end than please let me know, It's probably best if you made a back up save..