As the subject says. I used my steam key here to get the game from gog and it's not in my library. I have an email saying that the transaction went through. Do I have to wait for it to appear or something?

Try refreshing your account - https://secure.gog.com/account/refresh

Yup I saw that someone had to do that for fallout 3 and that solved my problem as well. Thanks for that. Is that an option anywhere on the game library page?

Unfortunately, no. Best option is probably to bookmark the link.