You can download TCs/Mods/Addons whatever from websites listed here:
All files from the TCs or Addons should be placed in the gameroot folder.
C:\Program Files (x86)\Steam\SteamApps\common\Duke Nukem 3D\gameroot is the location of it for me.
If you downloaded the TC/Addon from the links, make sure it doesn't say something like "Requires eduke32" as it will not work with Megaton.
In the (zip) folder, there should be a bat file or something similar. WGSpace Episode for example has a .bat file that includes:
duke3d.exe -xWGGAME.CON -gWGS.GRP
Copy -xWGGAME.CON -gWGS.GRP and right click Duke Nukem 3D Megaton Edition in your library and then Properties. Choose Set Launch Options and then put in -xWGGAME.CON -gWGS.GRP.
Launch the game and it should launch the Mod. Make sure you try all the Duke episodes before complaining that it doesn't work. The episode names are currently hard coded in Megaton so you won't see any change there, same with difficulty levels but the level names should hopefully be different.
Mods that don't work with Megaton:
Duke Nukem 64 Mod
Duke Nukem Forever 2013
WGRealms 2 (It's standalone anyway)
War of Attrition
...There are more that will be listed if found...