I used to do live steam.
Here's one I did that made music:
I still have this one around, since it's small enough to move with me. I could bring it down sometime. I did lots of performances with that one, and much more dangerous "instruments" back before I became boring.
As long as you hydro-statically test the boiler and use proper relief valves you should be safe. Most problems happen when boilers run dry, which is easy enough to avoid.
Sterling engines look cool, but most cannot do work. As soon as you belt one up to a dynamo or something, it won't budge. Lots of RPM, no torque to moveanything except itself.
I'd totally be down to get back into this...
Also, I hate running steam engines on compressed air. The effect / point is completely lost.