I have been playing the Xbox version of the game since it launched earlier this year and wanted to know how to set up crossplay with steam so that way I can play with my friends/roommate who is playing on a PC using steam.

Is there anything special I need to do?

You don't need to do anything special, just make sure you and your friends play on the same SHIP. That's all.

We are both on thorn, however, we were not able to see each other.

Let me propose this. Tell each other in real life on which block you're going to meet, for example Block 12. (Preferably a secluded Block.) Go to the same location in Block 12, for example in front of the weapon shop. And you should see each other in-game.