By which mechanism would a steroid molecule diffuse into the cell?

Directly through the phospholipid membrane

Explanation:

The cell membrane consist of a phospholipid bilayers structure. In the interior of the membrane, the phospholipid tail are hydrophobic, which makes the cell membrane to be selectively permeable, it is permeable to non polar molecules and impermeable to polar molecules.

Because Steroids are fat soluble, non polar compounds, they can diffuse directly through the hydrophobic, non polar core of the phospholipid bilayer without the use of carrier proteins.