Weigh a piece of it whose volume can be easily calculated. Divide weight by volume. (This is the definition of density for any particular substance, steel or otherwise.) Depending on the alloy, steel is about 490 lb/ft3.
(Rather than calculating it, one usually looks it up in materials data and uses it for some other calculation.)
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In vino veritas; in cervisia carmen; in aqua E. coli.
One calculates one's way into Kempe's Engineers' Yearbook, any edition, and looks it up.
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"Did you get my e-mail?" - "The biggest problem in communication is the illusion that it has taken place" - George Bernard Shaw, 1856