Hey all,
I got into steampunk a few years ago, starting with the music of a Seattle-area band called Abney Park. When I saw them in concert a few times I just showed up in plainclothes, but really got a kick out of the constumes everyone was wearing.
Later I started playing around with steampunk as a place to do some light hobby game design in my spare time, and came up with some airship captains and their backstories. There was the proper society lady with a hidden life. There was the guy who was constantly inventing crazy new technologies. A few others came along, and I was always able to come up with a name that felt right. The one that fought with me, though, was the ex-military captain who runs a really disciplined ship.
As I was playing around with some different scenarios/stories, I eventually came up with the idea of making that captain into my steampunk alter ego, at which point it was an easy choice. My middle name is Randolph, which totally fits a steampunk world, and I decided that he kept calling himself by his military rank, even after he left to start a career of piracy. Thus Lieutenant Randolph, shortened to LtRandolph. Since I came up with the name, I've assembled a full steampunk costume that I sometimes wear to Cons.