At a half empty Sky Dome, Coventry Blaze were two goals up at the end of the first period.
Carlyle Lewis and Adam Calder got the goals. Calder,who was the Blaze's leading scorer added a third but Sheffield hit back with two goals.
In the third period, the Steelers scored twice with Dan Carlson netting to send Paul Thompson's team into over-time.
Man Of The Match Adam Calder completed his hat-trick in over-time to give the Elite League winners the trophy.
On Saturday, Blaze start their defence of the Elite League with a trip to Basingstoke Bisons with the return game at the Sky Dome on Sunday. Face off on Sunday is at 6pm.