Actually, there’s nothing special you have to do: they work. What’s unusual is that when you add one of the G-Keys, you they all look to be the same key: “Corsair K95 RGB Gaming Keyboard #2” (or that’s what I see.) (There was once a time when the actual key showed up, but no more.)
Despite the fact that they all -appear- to be the same key, they are not, and each G-Key works fine. So just go thru adding your macros, and hitting whichever G-Key you want, and ignore the bogus name.
I also ran across the issue in this thread, in which repeated presses of any given G-Key failed quickly. The solution was to end each macro with “Type the Shift Modifier”.
hth