Here is a video of a steam engine being started. There is no narration, but you can see the smoke coming out the smokestack and the steam being released at the wheels.
http://www.youtube.com/watch?v=o6uxKCYu6aQ
The steam you see being released there is through the drains, as the cylinders are warming. Under load, those are closed. But what would I know, I have only spent my career working with steam.