I'm guessing you want to build a piston engine, not a steam turbine? The steam turbine would be pretty cool, though.
Keep in mind I have no actual experience in building steam engines, these are just my thoughts after a couple of minutes of thinking about it.
1. I think the easiest type of engine to build would be something similar to a 2-stroke engine, with intake and exhaust ports instead of valves. If you know anyone who has an old dead weedeater laying around, take a look at it. It will probably provide a good starting place.
2. If using the above method, you'll probably want the boiler output line to run to a ball valve to act as the throttle, then directly to the intake port.
3. Flywheel. If you're making a single cylinder engine, put a fairly large flywheel on it. It'll help keep the engine running if you happen to have large cyclic variations.
4. Safety would be a nice thing to think about, too. Manual and automatic pressure relief valves would be nice to incorporate into this design. Hot steam can really burn you, so be sure to direct any exhaust steam/pressure relief in a safe direction.
Of course, all of these ideas could easily be transferred to an engine with valves, it'll just be more difficult to make the valvetrain (valves, head, camshaft(s), etc...).
Hope it helps!
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(Note: The opinions expressed in this post are my own and are not necessarily those of CNCzone and its management)