It's actually quite easy, but you won't run the agent jobs as such.
Set up a CMD file to run under controlM. Within that batch file, you can use osql to run BACKUP commands, or if you set up a maintenance plan you can run the SQLMAINT.EXE utility and reference the maint plan to pull out the DBs to backup etc.
e.g SQLMAINT.EXE -S yourservernamehere -PlanName yourmaintplannamehere -BkUpDB C:\BACKUP -BkUpMedia DISK
See the BOL for details on the parms, and ways to use SQLMAINT and osql.
You can also parameterise your jobs and pass the parameters via ControlM - makes the jobs more flexible.
I'd suggest start with a basic script and then build up to the fancy stuff - parameters, error messages etc - once you have the basics sorted out.
Don't forget to call the appropriate ControlM exit code (success or failure) at the end of your job.