GOG reads your Character & World Files from the same location as Steam. (Which is under ...Documents/MyGames/Terraria...) Playing it on Steam rather than GOG will give you the same Character & World Files you have now as long as it's on the same computer.
Steam does record Achievements separately from GOG however. As Steam saves it to their system on your Steam Account, and GOG saves it locally in an Achievements file in the place your character/world files are saved for the game.