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Dark Sword miniatures has some really nice detailed figures made of metal you may want to see. Best. miniatures. I've. Seen. Ever.

As for Mage Knight, Hero Clix and D&D minis: yes they're made of softer plastics but as long as you use parts that are not flimsy (i.e. swords, staffs, or such) and you won't use the part to connect to two other plastic parts or a metal part, it's golden. Mage Knight and Hero Clix differs a bit in scale compared to Gamesworkshop minis, but only a bit. And their sculpts aren't exactly... exact, so sometimes they're just within the 28mm range, sometimes 30mm. D&D minis are just the same size as 40k and fantasy, only the proportions are nearer reality (smaller heads and hands, for one thing). That means you can't use the Star Wars heads (they're made of the same company), but you can use some of Hero Clix's or Mage Knight's.

Needless to say, I use all of these miniature lines on my DnD campaign (which is steampunk-oriented).

I would, but don't have a good camera at the moment. And most of them are simply black because I just converted them and commissioned paintings are killing my schedule.

http://www.darkswordminiatures.com/mainwebsite_html/gallery/V_7513_2010SE_Jen.htm

One steampunk figure of Dark Sword miniatures.