Steam models hold a special fascination for modellers but they are not something that everyone can make. The tools may be available but the techniques and skills required will need to be mastered and is not something that should be contemplated by a novice. You used to be able to enlist at a night college to learn the skills and how to safely operate the machinery but sadly that seems to have ceased. If there is a local Model Engineering Society you could make enquiries and see if they offer help with getting started. Lathes are precision instruments and unless you know what to look for you could end up with a very poor example so you do need someone to help.
As you have surmised the cost is not inconsiderable.
There are kits available but often consist of casting which require finishing in a lathe or milling machine.
It really heartening to hear someone is interested in steam but at your stage of modelling I believe your best way forward is to buy a kit with radio control and an electric motor to gain more experience and hopefully enjoyment. If you have a local model club that may be the best place to seek help from other modellers.
You can always ask on this site if you need help or advice.