Ok.
Here's a bit more progress.
After an abortive effort at making the big end from the threaded part of the bolt a second one was made from the unthreaded bar. The con rod was shaped to fit the bush by hitting it with a hammer and then filing.

It was fluxed and a couple of tiny bits of silver solder placed on the nail head with the bush on top. I heated it with the blowlamp, the silver solder melted, a little nudge with a rod to get it central and it was done.
It was threaded with a die and the piston tapped to fit. The thickness of the nail will only give about 50% thread engagement but that'll be plenty.

The cylinder head (part of the bolt) was drilled for a steam passage and tapped for a plug.

A plug was made from another part of the bar.

The stalk will be cut off when it's finally fitted.
The cylinder head was drilled so that I could take a plunge cut with a half inch end mill.

Then a pocket was milled out for the cylinder. This was a little more complicated than I expected. The end mill (clearly marked 1/2") wasn't

so I had to wiggle it around a little.

So the parts were fluxed,

and silver soldered.

and cleaned.

I think the reflection from the flash flatters in the last photo. It doesn't look that good in real life.
Needless to say various things went wrong along the way.
I was checking the length of the conrod and discovered that in my calculations for the steam ports I'd missed a factor of two somewhere. I had to shorten the conrod and redesign it a bit.

I had to have three attempts at silver soldering the cylinder head to the cylinder, first it wasn't square and then it leaked. However it's all done now and the piston still fits.
I've used a two inch bolt and that has provided the cylinder head and the cut off head of the bolt. I used 2" of bar for the cylinder, 3/8" for the piston and 1/4" for the big end and another 3/4" for the plug. Given the bits used just to hold bits for machining, parting off etc there is no bar left. I think the head of the bolt will be a hub for the flywheel.
As an aside I've been thinking about flywheels. There is of course no reason why they have to be round and for a slow speed single acting engine I'm thinking it might actually be an advantage to be out of balance so that gravity can help with the return stroke.
The steam ports are going to be the trickiest part of this. After my mistake with calculations the ports are very small and difficult to drill but I'm still thinking about that.

More to follow.