You will LOVE the addition of aroma oils to your steam experience. The most "popular" aroma is Eucalyptus, hands down. Since this is typically the aroma used in health clubs, it is what many steam bathers are already accustomed to when bringing this wonderful amenity to their homes.
But this is a very personal experience and your essential oils should be selected by preference. When do you steam? If you are looking for an energizing pick-me-up, Eucalyptus may be the aroma for you. If you typically take a steam before bed to wind down, you may prefer lavender. Many steam bathers mix and match, as each essential oil has its own benefits.
As for dispensing the essential oils into the environment, the BEST way to accomplish this is through a residential aroma oil pump, which injects the oil directly into the steam line. Your oil gets atomized and carried by the steam into the room, providing an even distribution. Check out the AromaMist Aroma Pump
You should never put the oils into the little spot on the steam head. When you put it on before turning on the steam, it will be blown right down the drain by the force of the entering steam. Once the steam is coming out, you should never get close to the steam head/outlet for safety. Aside from an aroma oil pump, misting the essential oils directly into the steam is the way to go. You can find a large variety of oils in an attractive atomizing bottle here... AromaMist Essential Oils