If you're not already in desktop mode, navigate to the Steam Menu → Power, and select Switch to Desktop.

If you don't have a keyboard plugged into your Steam Deck, you'll need to use the on-screen keyboard.

Press the Steam Button + X to enable the on-screen keyboard.

Thumbstick calibration is done within a terminal window using SteamOS's console, named Konsole.

From the Search menu, search for and open Konsole.

If you need to, move the Konsole window so your on-screen keyboard doesn't obscure it.