A "hot steam" refers to a Southern superstition concerning ghosts, particular the souls of restless spirits which have some kind of account to settle before truly 'resting in peace.' Both Jem and Scout were afraid that a hot steam would suck the soul out of them (very much like the Harry Potter "Death-Eaters!") if they didn't hold their breath while repeating an incantation to ward them off.
To Kill a Mockingbird is laced with such allusions. I find the following site particulary helpful in 'decoding' such terms.
In chapter 4 of To Kill a Mockingbird, Jem and Scout are thrilled that summer has come again. Summer means no more school and best of all, it means Dill will be back. When Dill arrives, the three of them begin their tradition of trying to get Boo to come out of his house.
Dill wants to know what a "hot steam" is and Jem is more than happy to tell him.
"A hot steam's somebody who can't get to heaven, just wallows around on lonesome roads an' if you walk through him, when you die you'll be one too, an' you'll go around at night suckin' people's breath."
Dill is not convinced that this is true, but part of him does believe it. There are many superstitions in the south and this is just one of them. Jem and Scout grew up hearing these things and they want Dill to be as educated about them as they are. Jem, Scout and Dill are obsessed with all things creepy. They love they creepy story of Boo, and that is one of the reasons they want to try to get him to come out of his house so badly. The three of them have no idea that the real creepy things are just about to begin and they are more than superstitions.
Hot steams are lost, wandering ghosts who still have some sort of business to take care of on earth. They are restless spirts who, according to Jem, can suck the soul out of you. Jem tells Dill about hot steams and teaches him the rhyme, "Angel bright, life in death; get off the road, don't suck my breath,” to ward off the phantoms who walk in the imaginations of the children in To Kill a Mockingbird.
The novel, To Kill a Mockingbird has many southern sayings and superstitions in it. The superstition that it is a “sin to kill a mockingbird” drives the title and major theme concerning the innocence of its characters. Perhaps the one person in the story who is surrounded most by rumors and superstitions is Boo Radley. He is blamed for freezing azaleas, peeping in windows, and eating squirrels. Children, like Scout, Jem, and Dill, always have scary stories and superstitions whether they are about “Bloody Mary” or “hot steams.”