Maggie Steffens will always hold a special place in her heart for her late sister-in-law, Lulu Conner.

Lulu, Steffens’ husband Bobby Conner’s younger sister, died at 26 following a “medical emergency” while in Paris to watch the U.S. water polo star compete in the 2024 Summer Games.

While speaking to PEOPLE at the 2024 Black Music Action Coalition Gala on Thursday, Sept. 19, Steffens, 31, shared that while her family is “still processing all that happened at the Olympics,” they are determined to “honor” Lulu’s “spirit, her light, her joy she brought the world.”

“She was a go-getter, and she made everyone around her smile,” adds Steffens. “So Bobby and I have been trying to live like Lu every day and really focus on that. At the same time, give ourselves the space and gratitude, and kindness to try to reflect and process what’s happened because we’re still in shock.”

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Steffens tells PEOPLE that being the youngest of four made Lulu “the little sister that I never got to have.”

“That created a relationship that instantly felt like family. And this past year, my husband and I got married. And, of course, she looked beautiful, and she read a poem at our ceremony. But my favorite memory is at my bachelorette because, of course, she was there,” the athlete recalls.

“She flew all the way from New York City. Her flight got delayed. She missed the boat out to Catalina, where we were going,” continues Steffens. “Somehow, [she] still made it and showed up in her travel gear out to the bar and ready to go at, you know, it was her 26th birthday at the time, and she passed at 26 as well.”

“So I think turning 26 for me and that energy and positivity she brought will be something I’ll always remember,” she adds.

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Days after Lulu’s death was announced, Steffens honored Lulu with a touching Instagram tribute, writing, “Live like Lu ☀️💕✨ I love you, always together. Time to fly 🕊️ Lulu Conner 🪽08.12.1997-07.24.2024.”

In a previous interview with PEOPLE during the Olympics in July, Steffens said Lulu “brought 150% to” every venture.

“Obviously it’s difficult to talk about, especially today, but Lulu was a light,” Steffens said in July. “She is the Olympic spirit, and I think that’s shown in how much she’s here. She’s so present at the Olympics. She was somebody that brought joy to everybody she was with and to everything she did.”

Steffens won a gold medal with the U.S. women’s water polo team during the 2012, 2016 and 2020 Summer Olympics. In Paris, the team finished fourth, behind Spain, Australia and The Netherlands.