Iron is a decent conductor, although copper is far better. It was (and in some situations, still is) used as metal wiring in telephone poles. It loses quite a bit of its energy to heat, however. While I don't know the exact numbers, I would be very surprised if the carbon in steel doesn't make steel a worse conductor than iron.
Worse, steel combines this marginal electrical conductivity with extremely high thermal conductivity. Even if there's a path to ground without going through the person, touching steel that is conducting any serious amount of electricity will still burn the person.
As for primitive steam engines, that issue could be solved, at least as far as modding goes, with the expansion of power consumption and generation, as well as some sort of fuel use into the building raws. Along with moving fortress parts, that's enough for a steam-powered "dwarven mecha".
I'd still like to see a "Dwarven Gearbox", however - a way of miniaturizing a 3-d space so that you can put miniature gears and axles into a single construction that occupies a single tile, but has mutliple functions inside of the gearbox by essentially being a small (let's say 20x20x20 area) of mini-tiles you can place mini-components in. Such a thing would allow you to build objects that have self-contained sets of mechanical logic operations (instead of having gearworks that use magic pressure plates with infinite range to operate logic operations) in a relatively small space.
If you could mass-produce gearboxes that are exact copies of one another easily, it would even expand what could be accomplished with gear logic by effectively making "reusable code" in a programming sense.