ECWolf finds the Steam install for Wolf3D and Spear automatically, but it doesn't have the code to find the GOG install yet since, well, it has just been released.
You can always copy the data files (audiohed.sod, audiot.sod, gamemaps.sod, maphead.sod, vgadict.sod, vgagraph.sod, vgahead.sod, vswap.sod for Spear of Destiny; gamemaps.sd2, maphead.sd2, and vswap.sd2 for Return to Danger; gamemaps.sd3, maphead.sd3, and vswap.sd3 for the Ultimate Challenge) in your ECWolf directory.
The audio* and vga* files are identical between Spear of Destiny and its mission packs, so you don't have to bother with finding .sd2 and .sd3 versions of them.
If the gamemaps, maphead, and vswap files in the M2 and M3 folders have the .sod extensions, change them to .sd2 and .sd3 for ECWolf to work.
I am friends with the dev of ECWolf Blzut3 I will inform him about GOG putting up Wolf3d and SoD.