Tried using Hamachi, no luck for me, so tried Tunngle. Worked with zero effort.

So, if you've got Grim Dawn on here, yet your mates have it on steam, it's easy peasy.
Can make a free account on Tunngle, install the client.
Get the others to do so too.

One of you open Grim Dawn & select "Host multiplayer", set it to LAN, set your game name, password etc. Send them to others you want playing with you.
Click accept & then start game as normal.

You'll most likely to have similar mods (if using mods) or all vanilla game play to match up properly.

If wanting to play with random players, once Tunngle is open, type in Grim Dawn in box just above main window. Then double click the setting below.

That'll show you a list of all player set servers, but they're more often than not locked. Well, so far, but then I've only had this set up for last hour as a test.

Enjoy cross play, you Taken heathens! ;p