I just do this for wrappers that aren't made to install Steam themselves, in other words wrappers that at the end of their setup open a dialog for you to select a DRM-free GOG installer or whatever. I cancel those dialogs out and then use Wineskin/Winetricks to put Steam in that wrapper, etc. I don't reinstall Steam in any wrapper that already installs it for you.
Thanks for the info on VMware. Considering my feelings about Parallels, I might give that free trial a spin after El Capitan is out for a while and see what I think of it. It would be sweet if it can import Parallels virtual machines. I would expect it probably can. I recall reading you can do that even with VirtualBox not that I would try that for gaming.
I'd only run older stuff in a VM anyway where odds tend to be good the game will run fine as it wouldn't be demanding, would only need DirectX 9, etc. I had great luck using them for that.
CORRECTION: I screwed up about Age of Empires III. I thought I'd seen it on PlayOnMac but I was wrong when I checked tonight. So I reviewed what is involved to get this one running on AppDB which turns out to be a little involved. It's done now and Steam is downloading the game in a Wineskin wrapper I've made up with the various stuff called for. I'll report back here when I have finished installing it and given it a test run. One thing that is reported as a limitation is that shaders have to be set to low as this setting uses DirectX 9 and any higher setting apparently relies on DirectX 10.