I've been reading up on Lincoln Electric's site. Looks like with a good strong welder (which I have.. 200A), and with some info on the standard the steam pipe meets, I should be able to buy wire to match. Looks like the steam pipe professionals weld it with some type of mig. Possibly gas shielded, possibly flux cored, possibly a combination. It looks like it is mostly called "low alloy steel".. not mild. I guess that explains why it rusts less - different stuff in it.
In my experience, the thicker the stuff, the better. I got some sections of "black steel pipe" from the local steel merchant - it was 4mm wall. I think it was roughly the same kinda stuff as steam pipe. Welded great. Also, my father had some large bent sections of thick steel water pipe that had been used to make a pergola... sorta went directly out from the roof, then a 90 degree bend with about a 3 foot radius, then down to the ground. He picked them up for almost nothing, but some were shorter than others. We cut them and I welded some together just fine with mild steel wire... VERY strong welds with great penetration. Only thing was, the weld had to be painted or it would rust. The pipe itself did not rust though - it's water pipe. I guess it's about the same kinda alloy steel too or something. Mild, you leave it in the rain, BAM it rusts overnight.