The problem with steel and other magnetic materials is that the
hysteresis loss can be high: every time the direction of the
RF current reverses, the steel remagnetizes in the opposite
direction, and that takes energy.
Non-magnetic stainless steel doesn't do that, but it isn't
as convenient to work with.
My suggestion would be to get a piece of aluminum flat stock,
drill the ends to fit on the terminals, then bend it into a loop.
Much easier to work with, and you can find it at Home Depot,
Lowe's, or many other hardware stores.
You can also use a piece of copper tubing bent into a circle,
which is easier than trying to solder straight pieces into an
octagon or square.