I know there are key-exchange methods in Cryptography. But in case of Secret-key Steganography, what actually stego-key means and how can we use the key and once used how we exchange that with the receiver?
The way in which the stego key is used depends on the type of media and algorithm used for hiding data. For example, in image steganography the stego key is used to select the pixels where the data will be hidden. An attacker without the key does not know what pixels he have to read.
Note that before hiding data is usual to encrypt the message so a crypto key is also needed.
On the other hand, the mechanism used to exchange a key using steganography is known as Public-Key Steganography. Check the following reference:
A simple option is to use public key cryptography hiding the message encrypted with the public key into the image (we do this without stego key, so that anyone can extract it). An attacker that extracts the message will not be able to tell whether the data extracted is a cipher text or random noise. Only the one with the private key will be able to read the message.