Mystico, if you're talking about anabolic steroids, then the posession and use comes under the Misuse of Drugs Act 1971, so you'd be owning up to a criminal offence. (In the UK).
If you're talking about a medicinal steroid, eg prednisolone, it's likely that the authorities would take things on a case by case basis, although, usually, when we have to resort to prescribing these, the seriousness of the underlying condition has been elevated.