It's a huge question that is really difficult to answer in less than, oh, an hour. I always feel bad when I can't come up with anything to say to this question that is actually helpful. I tend to go with somewhat pat answers like, "you can be anything you want" or "go to a thrift store." There are lots of articles and panels that attempt to address this question. Let me add my thoughts to those.
Step One: Get some ideas.
Before you start planning your outfit, or shopping for pieces, or making anything, it's a good idea to look around for inspiring ideas. Let's assume you are basically familiar with steampunk and what the style can look like. But now you need to start looking at details. What are the steampunk outfits that you admire actually made of? Which styles do you personally like for yourself? What basic pieces do you think you might like to have in your outfit?
This can vary from extremely general to very specific. A guy might decide he wants/needs a vest for a steampunk outfit. A girl might decide she wants to wear a corset, or a bustle. Or you might decide your steampunk vision needs a certain style of coat, or some leather armor or something. My advice is to keep your ideas open and general when you are first thinking about your outfit. If you get too attached to a specific item or look, you may end up frustrated trying to find just the right piece.
So where should you look for these inspirations? Well, if you've attended some cons you may have seen steampunks there and liked certain things. But mostly, there is the internet. I think it's important to spend a good amount of time looking at pictures of steampunk outfits on the internet. You won't be copying any of the outfits you see, but they will spark ideas and you can always borrow certain elements. The great thing about steampunk is that no matter what, you will end up with an outfit that is all yours.
Sites like Pinterest and Tumblr are ideal for surfing through pictures of steamy stuff. I particularly like Pinterest because you can make yourself a costume inspiration board, save all the pictures you like there, and be able to find them easily. (I'm so addicted to Pinterest. Can you tell?) But whatever site you want to use, just search steampunk or "steampunk costume." When I was first thinking about costumes, I wanted to see pictures of what people were actually wearing to cons, rather than posed professional photos, so I searched "steampunk costume" on flickr. It's encouraging to see other "beginner" level costumes, so you don't feel like you'll never be able to match up to the professional costumers' work that you see a lot on some sites.
Step Two: Go Shopping
Unless you are already a cosplayer or have sewing experience, you will probably be looking to purchase the majority of your first outfit. If you already can sew and want to make an outfit from scratch, there are lots of patterns out there. Have fun. The rest of us start out by buying at least most of our first outfits.
There are lots of great steampunk artists out there who will be very happy to sell you part or all of a steampunk outfit. If you are inclined and can afford it, you should support them. Most steampunks end up purchasing at least a few things from the artists around them, since we're not all skilled at everything. But chances are you can't afford to pay someone for a whole handmade custom outfit. So you start where a lot of us do: thrift stores.
Thrift stores are amazing things. You can find incredible deals there, if you know how to look. There are entire articles (and probably books) on how to shop thrift stores. But some general tips: you want a good middle-rung thrift store. Really low-quality thrift stores rarely have anything you'd actually want to wear. (No, seriously, I've been to a couple extremely sketchy shops, although it's hard to beat the prices...) High end thrift stores or "vintage" shops are going to be overpriced and probably picked over by hipsters. Middle-rung thrift stores are places like Goodwill and other well-run shops. They are typically large, clean, and have some organization. These places also get the most donations, so there's more likelihood you'll find something cool. And you won't see the same items every time you go.
What can you find at a thrift store? Well you're not going to find a corset or a bustle dress or a top hat. But vests, shirts/blouses, pants, skirts, shoes, and formal dresses are likelihoods. When you're thrifting you have to keep an open mind. If you go looking for a grey pinstripe vest in your exact size, chances are you won't find it. But if you just go and look and keep your mind open to the potential of all the items, you should find SOMETHING that will work for you.
For example, when I first started looking for pieces of my first steampunk, I found a black moire taffeta dress in the formal section of Goodwill. It was a pretty ugly 80s looking dress, and I hadn't been planning on using black in my outfit. But it was close to my size and I thought it could work if I cut off the horrible 80s pouf sleeves. Well the bodice was too small, so I cut the whole top off and turned it into a skirt by folding a bit down and hand-stitching it into a waistband and adding a button. I didn't know how to use a sewing machine. And I didn't really know how to hand-stitch either. But I got a black taffeta skirt out of the deal. And that skirt actually had a big impact on my character, as it influenced me to make her a widow.
Other places to shop would be garage/yard sales, antique stores, and flea markets. You can find great stuff at yard sales, although good steamy clothing is pretty rare to find. Hats seem to be a pretty common item, though, and so are shoes. You can't tell what you might find at a sale just from the neighborhood or from the look of the sale. My husband recently found an awesome pith helmet at a junky sale in our own neighborhood that I would never have stopped at. And he got a big box full of vacuum tubes for $2 at another sale that didn't look like much.
Antique stores can house some great accessories, but their prices are often high. But you never know. Even some upscale shops can have some small items that they don't value, but that are useful to steampunks. We've bought medals, tools, toy guns, a parasol, old broken clocks, and similar items at antique stores. Flea markets vary in what you can find by your area. Locally we haven't had much luck, but some parts of the US (and the world) have amazing flea markets.
Finally, don't forget to look through your own closet and that of your family members. I spent a long time looking for a shirt to wear with my first outfit before I found a plain black top in my closet that worked great.
Step Three: Modify and Accessorize
You don't have to just buy clothing and wear it as is. Even if you're not up to sewing, you can do a lot to a garment to make it more steampunk or just more unique. Steampunk, when you come right down to it, is the art of constantly modding and adding more decoration.
We added faux embossed leather from the Hobby Lobby remnant bin as accents. We added epaulets, some leather to the pockets, and pirate-style cuffs. Most was done with hot glue and a little bit of hand-sewing. We also added military style medals, pins, and patches.
For the back, he wanted a large back patch, so we found an awesome octopus patch and made an airship/octopus logo. That's how we ended up being Airship Octavia. Because we needed a reason to use the giant octopus patch. The lettering is cut from faux leather and glued on.
And the great thing is you can keep adding as you get more accessories. Accessories can be things you make yourself or they might be a good place to make some purchases from steampunk artists. But don't think making things has to be really complicated. Taking a decorative piece of metal and gluing a pin back onto it to make a military pin is something anyone can do. Painting a pair of welding goggles is a good and cheap way to get some goggles to start out with. A cool iron-on steampunk patch from etsy really livens up a thrift store jacket or vest.
The important thing to remember is that a steampunk outfit is never really done. There are always upgrades you can make and accessories you can add. As you can see from my post about the evolution of one of my outfits, a single outfit can change a lot, one piece at a time. Everyone starts somewhere.