I found the answer to this question on the main Obsidian forums. Thanks Obsidian, love the game!
https://forums.obsidian.net/blog/7/entry-176-steam-how-to-access-your-extra-content/
I don't see any of the DLC on my drive but it all shows up in the steam interface as having been installed. Where should I be looking? I purchased the Royal edition and there's quite a list of DLC so it should be hard to miss.
Thanks!