Oil to gas - great! Steam to hot water - great! Sounds like an interesting project. Love to hear the process you settle on, as I have been dying to be involved in just such a conversion.
You don't mention where you are, but many states have programs that not only offer incentives, but a ton of protection that I would want if I were to embark on a project like this. Lots of potential traps.
One trap is - can you convert the piping to hold water. Some steam systems were tightened by hand and when you put water through them under pressure they leak. So the first thing would be to hire someone to test the system for leaks. Not sure if you simply pressurize with air and see if it holds or what.
Next trap is measuring your radiation. Need to know how the rooms match up to the radiators and if the rooms can be improved. Over sized radiation can be a good thing, means you can run cooler water. This improves comfort AND efficiency, but then the balance from room to room needs to match as well.
Check www.bpi.org for accredited contractors in your area. They'll tell you the process and incentives in your state. Try to find one heating AND shell certified as you'll get more comprehensive advice.