Guys, I got I-20 from University for OPT Cap Gap Extension.
Now what is the next step.
Do I need to apply to USCIS? I don't see any information that I need to apply to USCIS or how I would notify them.

 your school international office would be the best thing that would advise you on this.

Your SEVIS record should automatically add the Cap-Gap Extension onto your OPT time. Just let your International Advisor know about the change of status. Since you already got your "cap-gap" I-20, you are OK.

To get your cap-gap I-20, first your advisor will contact USCIS to update your f1 record.  Once it is approved by USCIS, your international office will print new I-20 reflecting the new end date of your F1. This is what you have , grab a beer now.