A few years back there were numerous recreational and hallucinogenic "research chemicals" available through mail-order and the Internet - I'm talking stuff just as powerful as LSD and amphetamines - and their use and availability was widely discussed on the web. Eventually, after a few people died while using one substance in particular, the DEA and FBI busted a few of the manufacturers under the analogue act, although I'm not sure if the prosecutions stuck. But going after the users was never a priority, and even the distributors only took heat once the issue got press.
In general, steroids are even less of a priority. Remember that the federal law enforcement agencies have limited resources (and since 9/11 more and more of these resources have been shifted from drug enforcement to terrorism). They can barely keep up with large-scale importers and underground manufacturers. Going after consumers just isn't practical, especially when it comes to "research chemicals" for which a conviction is difficult.
IMO, the #1 way to get caught with illegal steroids is the same as the #1 way to get caught with any illegal substance: a traffic stop.
Other than that, the only high-risk situation I can think of is interception by customs. Some international packages get x-rayed, and if there are vials or pills then they'll be opened. If illegal substances are found then the packages are sometimes just destroyed with no further consequences, but sometimes not.
The #1 way dealers get caught is when one of their customers gets arrested, flips in exchange for a deal, and sets up an undercover buy. But if you're not selling then you don't have this problem.
Just like everybody knows that pros use steroids, everybody knows that hippies (you know, dreadlocks, "Phish" t-shirt, patched corduroy pants, etc.) smoke weed. Yet most people who obviously smoke weed don't get busted either.
