So the second direction is that chosen by most die-hard steampunks: developing a steampunk persona or alter ego. That means that they have a steampunk character that they portray, no matter what outfit they are wearing. They have a steampunk name, and a history for their character.
So, why? Well, I find that character and costume tend to go hand in hand. As you put together a steampunk outfit, you make decisions about that outfit. Some of them may be based on pure aesthetics, but others will come down to "what kind of person is wearing this outfit?" Are you an aristocrat? A scientist? An airship pirate? A mechanic? An academic? Deciding those things is probably going to have to come pretty early in putting together your steampunk outfit, because the answers will drastically affect what you wear.
Of course, the character may not come first. In fact, in my experience it's the costume item that comes first. You find a certain item or article of clothing that you really, really like and you then have to come up with an explanation for why you are wearing or carrying that. As lots of these details are added to your outfit, your character story becomes more and more fleshed out.
My own steamsona (get it?) is the Baroness Violet von Micklesburg. But I didn't just wake up one day and decide I was going to create a steampunk character named that. It started with going to thrift stores looking for pieces for a steampunk outfit for a con. I found a black taffeta skirt and decided I would wear it cinched up over a purple skirt. So I decided I was a widow (since widows wore black and then purple after a year of mourning.) And I decided I had married a wealthy, older man. And the details were added a bit at a time. He was German, an industrialist, etc.
My husband, meanwhile, was coming up with his own character. He was an airship pilot. And we needed some way for our characters to come together. So my late husband built a prototype small "coupe" style airship intended as toys for the wealthy. And then the test pilot and the grieving widow stole the prototype after he died. The Baroness thing came later as I searched for some sort of title. Baron is the lowest level of German nobility, and Baroness just sounds awesome, so that's how that happened.
Do you HAVE to have a persona?
No, you don't. I think it's fairly common for people not to have character names and stories all figured out at their first few steampunk events. My husband's character didn't even have a name for about a year. No one is going to be checking your steampunk credentials at the door.
If you don't feel like creating a character, well, don't. You only have to interact with the parts of steampunk that you like best. If that is making stuff and then showing it off and you don't care about stories, fine. Just accept that most people around you DO have alternate names and histories.
There's always an awkward moment when you have to decide whether to introduce yourself as your steampunk persona or as yourself. I honestly don't even have this one figured out. Some people in the community are only ever known by their character name, and some are never called by their character name. This can also get confusing, for example if someone uses a steamsona on Facebook but goes by their real name in person. Or vice versa. (That would be me. I only have one personal FB account, and it's under my real name.) So I tend to introduce myself by BOTH names. Which is probably extra confusing, but hey.
I would advise that if you WANT to be known as your steampunk name, you introduce yourself as such, from the beginning, consistently.
What's the point of a steampunk persona?
That varies by individual. Some people participate in live action role-playing as their character. Some role-play that character online. Some people just like acting as a very distinct character in person. Personas can be important if you join or form an airship or other steampunk collective. Often these groups will write stories about their members and how they all ended up together. In that way, interactions with other steampunks can shape your backstory in new ways.
So, are steampunks always "acting?" No, not usually. I've only known a couple of people who are always in character. Most people's steampunk personas have a similar personality to their own, if a different history. So most people are being themselves, even if they go by another name. Some people are only "in character" if they are performing or participating in a LARP. Some people might never even talk about their persona, but it's still important to them personally.
I am most like that last type. The Baroness has a very particular personality in my head. But I rarely try to bring that personality out in public. Mostly because it is either too subtle a change for anyone to notice, or because people just think I'm a bitch if I do. (I've heard amusing anecdotes to this effect: "I can't tell if he's an asshole or if that's just his character...") My persona is important for my costuming decisions, but not much more. In that respect, personas can sometimes be limiting. I can't just show up to a con one day in something the Baroness would never wear. Because when I am steampunk, I am the Baroness. Once upon a time I was planning a steampunk maid costume. But as I got more involved with the steampunk community and as my persona became more developed I realized the Baroness would never, ever dress as a maid. My Steampunk Cleopatra costume, on the other hand, is a fancy dress outfit, so it certainly might be something the Baroness would wear to a costume ball.
Ultimately, like most things in steampunk, the way you create your persona and the way you use your persona is entirely up to you. I think personas are a great way to bring creative thinking into costuming. I heard one steampunk say once that with the ideal costume, you wouldn't have to explain your character at all; anyone looking at the costume would just know. It's something to shoot for, at least.