Install Nehrim to some directory like C:\Program Files\Nehrim
Rename your existing Oblivion Data directory (C:\Program Files(x86)\Steam\steamapps\common\oblivion\Data)
Copy the Data directory from the Nehrim install into your existing Steam Oblivion directory.
Start the Nehrim launcher, point it to your Steam Oblivion directory.
Update Files, install patches.
Select Oblivion from Steam Library, launch game.
Goto "Data Files", select only the Nehrim .esm file, deselect everything else (including Oblivion.esm).
OBSE & Mods + Steam:
I have tested a few of the minor UI mods with Nehrim on Steam, and they appear to be working just fine.
. Process is detailed in the readme.txt in OBSE.