I just found this out for the SBDs :D
I did it on Polo. If you click on Poloniex "deposit" for SBD (and I guess steem works the same) they show you a memo "tiny address"
When you send steem here from steemit, you have a memo field. Put that line from Polo in.
As receiver you take Polos account here ( @poloniex ) , they also show it to you on their website under the memo, so best to copy it to prevent typing errors.
Send the steem and after a while (for confirmations) Polo has the steem on account.
Thanks for the explanation @lennstar