Steampunk style is all about creating a combination that mimics a thing but isn't often fuctional. The very nature of steampunk- usually a blend of steam-powered Victorian elements and old-school looking items means that no two are alike. 

Where to find the parts: go to a thrift store, garage sale or look through your own basement or garage for things you don't use but have that metalic look. Think about the parts of the gun- the handle, 'power source', trigger and barrel. There's a variety of ways to combine them, whether you use wires, glue, elastic, soder, or simply mash together until they stick. Consider the stand you will want for display. Most ray guns won't be carried around a lot unless you're always going to conventions. Even then, it's nice to show it off on your desk at home between trips. Banana holders, the kind with a loop on the top make excellent stands, as well as plate or tea cup hooks. 

Once you've assembled your materials, look online for existing steampunk ray gun pictures. Don't worry about being professional about it unless you're trying to sell them. Start simple and do it for fun. Create your own imaginary ray-blasting antique replica you can then say has been in the family for generations. If the parts are a bit rusty or look worn, all the better.  If using new-looking parts, consider spray-painting them gold or chrome.  You'd be surprised how much of a differnce a bit of paint makes. 

So go forth and start treasure-hunting! Use your gains to make a new yet old-looking piece of fictional history. Enjoy!