However I have sucessfuly soldered stainless steel to brass before with a very strong joint. The trick is "keying" the steel and lots of high heat (lots and lots).' Regular' (i.e low chromium content) steel still benifits from the quck rub with wet and dry but is far less fussy on the mega heat (which may knack the led.)
The problem however with steel is the rust (the reason we switched to stainless) which can readily causing intermitency but if soldered with reasonable heat should be fine.
Graynomad:
Are resistor leads steel? I never even thought about them.
But if so then the answer is 100%
Rob
I think a lot are, capacitors and other components too. They are pre-tinned however. They stick to my cutters sometimes as they have somehow become slightly magnetized. Rectifier diodes are an exception for obvious reasons.
You best practice getting the steel to "tin" with solder. My experience is that the steel needs to be very clean, roughed up with emeroy cloth, and preped with acid core solder. If you can get the steel wire coated with solder, then use the normal soldering methods to solder to the LED.