I haven't the foggiest notion what "steampunk" might mean, but a dark wood, like cocobolo, with a narrow brass head, side switch and tailcap would really be very pretty indeed. Say 3C in size.
Just my 2c.
I have made a number of wood covered bodies and heads over the last few years. Just a couple of gotcha's on wood lights and working with wood. Cocobolo is a really beautiful wood. easy to work with on a lathe and finishes up really nice. One comment about cocobolo ' You are either allergic to the dust, or you WILL be ' Do a google search on this wood and you can read all the precautions you should take working with this wood.
Any threading you do should be coarse by nature, fine threads don't really work well with wood. The wood pen kits you see are wood covered brass inserts, maybe other metals, but the wood is applied over a metal base.
You still will need some metal to carry carry the current from the batteries to the bulb (or LED )
My own preference as to size. I like the lights no bigger than a 6P or 9P size. bigger than that reminds me of a 2x4 , but , that is my personal taste.
I did a number or lights using Desert Ironwood. This wood tends to splinter, it is a brittle wood. If you turn it on a lathe, the last few cuts should be small. Then sand to the final size. Boring out the body to accept C or D batteries might be a challenge. This depends on the size of the lathe you have available. Also, consider the wall thickness of the finished body.
It should prove to be an interesting project. Please post pictures as you complete various steps.
will