I hadn't realised you could actually do this until I got talking to a chap who had some brass steampunk goggles. I'd always assumed you'd need specialist equipment to do metal work but as it happens you can use a small blowtorch, plumbers flux and electrical solder. Here's the equipment I use:
You'll also need a heat matt to protect the table (unless you have a metal table or something). Alternatively you can use a ceramic tile which I've found is quite helpful - it provides a flat surface if you need to accurately layout any pieces that you're joining. You can't touch them off course while working! Some helping hands to hold everything in place are also invaluable.