I plan to film in a steam room this weekend for a cover shoot.
However, I know for a fact there may be difficulties regarding the "steam."
Any tips for filming in a steam room?
I'll go one step further than MikeW and suggest that you heat your lenses. As an astronomer I know that dew is a major headache. I use a http://www.dewbuster.com controller and some brand of dew heater strips to keep my objective lens warmer than ambient.
Now you won't need a dew controller (I put the link in just because it is a cool piece of hardware) since one big problem with astronomy is power management, if you're in a steam room just run some extension cords (and plug them into GFI outlets!)
But the heater strips should keep your lens(es) warm and moisture free. Heat tape, which is used to keep pipes from freezing may work, but they might not get warm enough.
Now, you might also want to heat the camera body, you'll probably have to build a DIY system for that.
First, keep your equipment in a moisture-proof container, and allow it to warm to the temperature of the room before your shoot. Otherwise all that moisture will instantly condense on your gear and fog your lenses
If you want the steam to be really visible, you'll want to try to light it from behind, or from the sides at least. More here - Capturing vapour or faint steam.
And you may also want to have a fan to blow the steam around: to blow it away from your subjects so you can see them clearly, and to mix up the steam and make it more interesting than an even fog. Ok that's three things.
With your lighting, you may want barn doors, or some other modifier, to concentrate the light on your models, so the light doesn't spill onto the steam around them, which could become very bright and turn into a blown out mess.
Show up early, or the day before, and do some test shots.