Steel shot is classified as either standard or high performance. If your gun is nitro-proofed (i.e. it can fire modern lead loads) then it will be safe to fire standard performance steel. This is generally steel of size 4 or smaller.
High performance steel must be marked as such on the box, and should only be fired through guns bearing the fleur-de-lys proofmark, and usually with the words “STEEL SHOT” stamped on the barrel. If you have any doubt about your gun, seek the advice of an expert gunsmith.