First of all, magma smelters. You'll need at least three. This will save lots of fuel.
Secondly, steel is complex. Iron ore -> Iron. Use two smelters with that on repeat; three if you're reduced to goblinite.
There are four iron ores:
Magnetite, found in big clusters in sedimentary layers.
Limonite, found in veins in sedimentary layers.
Hematite, found in veins in igneous layers.
Goblinite, found on goblin or human troops in the form of armour and weapons. Obtained from the ore by designating the items to be melted, and selecting 'melt a metal object' at a smelter.
From there, you need to create pig iron. This takes an iron bar, a unit of flux, and a bar of refined coal.
Flux stone is marble, limestone, chalk, calcite, and dolomite. Only the first two are common. Marble is probably found all over when you get down to cavern depths. Raw stones, not blocks. Possibly use a minecart quantum stockpile for this.
Then you need to create the steel. This takes a bar of pig iron, a bar of iron, a unit of flux, and a bar of refined coal.
Queue up a handful of pig iron jobs to get a buffer, 5 should do it. Then set a smelter up with a job of pig iron and a job of steel, both set to repeat.
Refined coal is either smelted from lignite or bituminous coal as ore in a smelter, or burned to charcoal from logs of wood in a wood furnace.
If you use a regular smelter, you'll need a unit of refined coal to fuel every single job in the chain, as well. This includes obtaining the iron from the ore, the pig iron, and the steel itself, ON TOP OF the requirements to make the steel.
Your problem is likely just not having them available to dwarves RIGHT THIS SECOND due to stockpiling. Make sure you've got a few bars of pig iron as a buffer, and a shedload of iron bars to use.