1. Are there any visual differences between a smolt and a parr?
Yes. Parr are what you usually see when you catch young trout. Smolt are silvery. Here's a good image, that I shamelessly jacked off the internet. Atlantic salmon, but same difference.
2. Is this designation strickly based on the direction they are traveling in the river or something else? Not based on direction. They undergo a lot of physical changes during the parr-smolt transformation (or smoltification) in order to survive the transition from fresh to salt water. It's all about osmosis really but gets pretty complicated.
3. If you were to take steelhead smolts and put them in a lake do they imediately become parr? Immediately? No, it takes a while to transition from one form to another. Not sure how long though.
4. If so then when ODFW takes surplus steelhead and puts them into my "Lost Lake" do they become parr as well? Surplus as in adults? If they're adult steelhead they cannot become parr, as par is a juvenile form. Over time they I guess they could transition into a resident trout form. I don't really know. Good question.