typically when building a heatsink, you're looking for something that has a greater dissipative thermal capacity, than the initial object. Or rather, a heat sink is more dissipative than the processor. Figure that when a manufacturer crafts a heat sink, its usually made of aluminum or copper, since they're such good thermal conductors. Typically Aluminum is used, but Copper is twice as efficient. Hence why Apple in many cases had aluminum heat sinks with copper cores.
You could use steel, but from a metallurgical standpoint, its going to be somewhat less dissipative, since steel is an alloy of iron, carbon, and typically manganese, chromium, vanadium, or tungsten. All of this adds up to a larger molecular density, which holds heat. Aluminum and copper, being lighter metals, heat up quicker, and more evenly, therefore bleeding heat more effectively.
Also figure that steel, when made, tends to be harder, and more brittle, whereas aluminum and copper are much more malleable. If I were looking at building some kind of heat sink assembly, I'd go after copper.If you wanted to get creative, maybe Bronze, since its an alloy of copper and tin. But at the very least, the possibilities for sheet copper crafted into something, could be pretty cool. If you could have a heat pipe assembly to some externally cooled copper sheeting, then you might have something really interesting