I'll add to Dave V's list:

Trying to catch steelhead on the same gear/bait/technique as you do for salmon. Steelhead and salmon are completely different. Don't use the same stuff.

Trying too many different techniques. Stick to one method (ok, maybe two) - float/jig, spoons, spinners, drifting eggs, or plugs, etc; develop some confidence, and stick with it. My two favorites techniques for winter steelhead are float/jig and spinners.

This has already been said, but the biggest beginner mistake: fishing the wrong areas. Learn to read the water and recognize holding areas. If you're fishing the right spots, sometimes you can hook a steelhead even if you've done everything else wrong.