miguelangelph: Do u know if the save from steam is compatible with the gog version of the game?
Save files in general are handled by the game, not the platform. In most cases if you switch platforms, the save file location remains the same and the new install should find the save games automatically. There is no need for the game to read or write different save game information if the platform changes so they should be compatible, regardless of the game.
(As in, as long as the platforms are both PC. I don't think you could use Playstation save files on a PC and vice versa.)
I have not tried Fallout 3 this way so I am not 100% sure, but as
Spock666 mentioned the game found the save files automatically. So I would say yes, they should work. And you don't need to copy and paste them anywhere. The save game location will be the same so they are already in the correct place.
My recent platform change was with Dragon Age Origins where I switched from EA Play to Steam and since the save game location was the same, Steam version found the saves automatically and I could load the save I was playing and continue from there.