As you mentioned, glucocorticoid hormones are steroid hormones, and are therefore lipid-soluble. That being said, glucocorticoid hormones enter the cell through protein transporters in the plasma membrane for more efficient transport than diffusion; the cell can also exert a degree of control over the glucocorticoid hormone entrance using plasma transporters than simple passive diffusion.
Since glucocorticoid hormones are fat-soluble, they are released from endocrine glands directly into the bloodstream and are transported bound to specific carrier proteins, called corticosteroid-binding globulin (aka. Transcortin). The production of Transcortin occurs in the liver and is increased in response to oestrogens.
Take a look at this 'Action of Glucocorticoid Hormone' animation, I found it really useful:
http://highered.mheducation.com/sites/9834092339/student_view0/chapter16/action_of_glucocorticoid_hormone.html