Responding backwards through the posts...
@ Virex
The joints were a big problem, but yesterday I just realized a way that would work better. Unfortunately, I can't draw a picture now because I'm responding from my phone, but I'll draw one as soon as I'm back on my computer. The idea is that the limbs will be moved similar to how a trains wheels are turned; a jointed metal bar connected to a piston will be pushing them one way, but the piston is in the main body of the robot. That way there could be regular hinge joints for elbows without needing the pipes.
@ Max White
Thanks for the encouragement! I'll be putting up as many pictures as I can.
@ Eagleon
If I understand what you're saying correctly, then that's what I was planning on doing. The Segway idea reminds me of a machine some guy a couple hundred years ago made; it was a humanoid steam powered robot that would pull a little cart around behind it. Surprisingly, it actually worked. It could go 60 mph at it's top speed. That doesn't actually have that much to do with what you're thinking of, but I just thought it was cool.
@ Monk12
I'll hurry up and scan the drawing of the boiler design, I'll have that up later today. I'm pretty sure I would only need one pressure gauge, with little homemade pressure releasers around the pistons to boh keep the pressure at a safe amount and let you release all the steam from the pipes.
@ bowdown2q
The screw assembly is an interesting idea, but I don't know if it'd work with the joints. For a rotating part (like a shoulder), that would work great though! Shoulders were another big problem for me. Once again, I'll put up a picture of what I think it'd look when I'm using my computer again.
@ Nikov, Sensei, and Spreggo
Yes, I know all of the problems that go with steam engines. If I'm actually going to make this thing, I'm going to try to do it accurately. Besides, everybody here has played Dwarf Fortress! You should know how much Fun can be had with adding unnecessary complications!
The engine wouldn't be coal, actually. I'm thinking of having a alcohol burning engine. It would be easier than coal, at least.
@ bowdown2q again
I was planning on testing the limbs and everything with an air compressor, but it will end up being steam powered.
Thanks for the comments! In the time since I first posted this thread, two major problems have been solved thanks to you.