I would start with all the wheels if you have the castings, all can be machined together, all similar parts, then build the wheels, again common methods to front and rear, then make the front end, then rear axle parts. when you get the boiler make yourself a trolley with castors to support the engine, arrange it so the wheels will be a few inches off the ground, then you can move it around to work on, it will be at a better working height, and when you get to the motion etc, you can turn the engine over, rotate the wheels, check gearing and so on. when the time comes you can run the complete drive train to test. As Paul says shop around for laser cut parts, seems to be overcapacity where I live, and good prices seem possible.
Chris Gunn