Steels typically do not sharpen, they merely straighten, hence, they can last for several lifetimes.
Exceptions are some sticks (steel-like objects) that are actually diamond hones. Those will sharpen for a long time. If this is the type of 'steel' you are asking about and you feel that it is not doing the job, it may be one of two things, the diamond is indeed worn away or lack of consistant angle of usage has "dulled" the knife.
got a set of Henkles about 15 years old ... the steel had fine grooves lengthwise ... it's warn smooth where I regularly use it and there is always a fine steel powder on the steel and the knives after I sharpen them ....
asked an employee at a cutlery store about it and he said I should replace the steel, that it's worn out... haven't done it yet, should I?
This a question I have asked myself as well. The steels do seem to get smooth after a number of years. The other thing I have wondered about is whether you always have to go down the steel towards the handle. I was honing a knive up one side and down the other and my father-in-law said that you have to go towards the handle. I thought that the steel straighten out the edge and the direction made no difference, but don't know for sure. Any of you science guys know how a steel actually works?