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We consider a rigid assembly of two active Brownian particles, forming an active colloidal dimer, in a gradient of activity. We show analytically that depending on the relative orientation of the two particles the active dimer accumulates in regions of either high or low activity, corresponding to, respectively, chemotaxis and antichemotaxis. Certain active dimers show both chemotactic and antichemotactic behavior, depending on the strength of the activity. Our coarse-grained Fokker-Planck approach yields an effective potential, which we use to construct a nonequilibrium phase diagram that classifies the dimers according to their tactic behavior. Moreover, we show that for certain dimers a higher persistence of the motion is achieved similar to the effect of a steering wheel in macroscopic devices. This work could be useful for designing autonomous active colloidal structures which adjust their motion depending on the local activity gradients.