To customize the Steam Controller, launch Steam Big Picture mode. You can open the controller configuration menu regardless of whether a game is running.

Using Steam, you can add non-Steam games and use this same process to configure your controller settings. On the other hand, one unfortunate side effect of this method is a broken rumble.

Action sets User-configurable action sets are a recently added feature of the Steam Controller. As of this writing, this feature is only available in the Steam beta client.