Others have done it and my goggles are off to each and every one. My personal favorite was Boneshaker by Ms. Cherie Priest, the undisputed queen of the epic pairing, if you ask me.
What I haven't seen enough of are short stories that combine these genres, but on that front I have excellent news. Coming soon from Marion Margaret Press and Editor Ron Leming is the Confederacy of Steam vs Zombies anthology.
My story, "Calcaneus Bishop and the Legacy of the Sraavanya Sutra," is included in the collection.
Ron Leming's call for submissions went as follows:
The Confederacy of Steam is a worldwide organization, based in America, whose main purpose is to wipe out the zombie plague, wherever it may strike. Young Doctor Orloff, along with his Zombie Extermination team is the inventor, fabricator and technician of the Confederacy. Your tale may take place anywhere in the world and in any period of time, from the Victorian era to present day, so long as the world you create is an extrapolated steam-driven world, with the concepts of steampunk intact, and you base your story around expeditions of the Confederacy and its members battling the threat of the zombie plague. It can be scientifiction, adventure, romance, fantasy, whatever genre you like, provided they follow the guidelines of our little world, an uncertain future, where the aesthetics and ethics of Victorian society are combined with advanced steam-powered technology.
If that setup tickles your fancy, then keep an eye out for the Confederacy of Steam vs Zombies.
I've delved only a few times into the steampunk world, but I've got to admit, each and every time I created a tale that became one of my favorites. While numerous half-written stories are waiting patiently to be finished, the three that went on to completion and found homes were:
"Margin of Error" in the Aether Age anthology from M-Brane SF/Hadley Rille Books
"Signs of Spring" in the steampunk issue of Fissure Magazine
"Greenhorns" in Science Fiction Trails 8
On my project list is another steampunk short story which I plan to finish by the end of the year, yet another early next year and, once Zulu Time concludes, I'm leaning heavily toward setting my next novel in another time and place with an excess of steam-powered devices, arcane energies, and characters with more classic sensibilities.
Speaking of Zulu Time, I hope you're following the story, now into it's seventh chapter, at JukePop Serials.