It is quite similar for custom build steps - you put above into "Commands" pane (of course, $(InputDir) etc variables are different, there are buttons in dialog that list all options).
You have to put "$(IntDir)\$(InputName)".obj equivalent - which actually is
"$(OUTDIR)/$(FILE).obj"
into output files section.
Mirek
P.S.: We should perhaps consider adding direct .asm support to U++ builders - the only question is how to do that reasonable compiler and platform independent...