For as much sewing as I do (and love to do), I still do a lot of thrift store alterations. For things like jackets, it's soooooo much easier if I can adapt something already made and just tailor it to what I want. Here is a quick and dirty example of what you can do with a thrift store coat.
Exhibit A: gorgeous beige and cream brocade winter coat. At this point I had already ripped out the lining and the (shudder) shoulder pads, but you get an idea of what it looks like. Cute, but an awkward length for Victoria, and just small enough on me that it doesn't really fit my hips.
Exhibit B: CUT THAT BUSINESS OFF. Seriously. When you get a good cheap thrift store find, don't be afraid to take scissors to it. Here, I cut the length of the jacket to about my natural waist, leaving enough material to fold under to create a nice even hem. I decided I didn't really like the sleeves, so I cut those off too. I simply flipped the lapels out and added a leather brooch I had made, and voila! Now, I could have stopped here, but.....
Exhibit C: ADD MORE STUFF. The thing that can take a steampunk outfit (or any outfit for that matter) is adding more trimmings. Play around and have fun. You can see here that nothing is permanently attached at this point - the trim is just draped, the leather bits are just pinned on. Put stuff on, leave it for a while, take stuff off. There was nothing wrong with the photo above. But adding simple things like trim and appliques can take a costume piece from pretty to WOW.