This last November, I went to a Steampunk convention in Madison. Being a 17 year old girl and BROKE, I had to work with what I had. The only items I purchased brand new specifically for Steampunk were my goggles (gotten at the Pawstar booth at an anime con), my bowler hat ($17 at Fanplusfriend), and my antler and cameo brooch.
Of course, being a seasoned Ren Faire worker, I have the advantage of already possessing several punk-able skirts as well as a LOVELY underbust corset. But most of my costume was pieced together from pieces of my lolita get-ups, ren costumes, mother's clothing, and things I just already owned.
Don't be afraid to shop around. Even brand new, as long as you're buying in pieces, Steampunk doesn't have to be expensive. If I gathered all of my Steampunk costumes together in one places and tallied the prices, it would probably come to well over $700, but that's almost entirely made up of things I already owned - swing dresses worn with petticoats and waistcoats, my freshman prom dress that I altered. My main suggestion is that you shouldn't try to do it all at once. If you're in a thrift store, maybe not even looking, and happen to see a lovely vest or a nice looking shirt, grab it. You may not have anything to wear it with YET, but eventually, you will, and it will pull together, and you will look dashing.