How many components can the Uno power?

One_:
Also if it is possible, could I add a wave shield on top of the uno as well, or does the wave shield not have enough pins to connect everything together?

If I can't use a wave shield is there any other way to get sound?

Digital pins 2, 3, 4, 5 & 10, 11, 12, 13 are used by wave Shield in the default setup, which doesn't leave so much. There are other ways to generate sounds, but if you want to play audio clips that's a straightforward way. Depending on your project you might find a 2nd Arduino to run the steppers would be an option. There's still plenty of pins available to signal a 2nd microcontroller.

Cheers ! Geoff