Should I insulate steam pipes in the basement?
Insulate the pipes. 

You are likely losing a lot of heat into your basement if they aren't insulated. Unless your basement is finished (and therefore you want the heat there) you want to keep as much heat in those pipes as possible so that it gets into the main part of your house.  The heater (and other similar equipment like hot water heater) should heat the room enough to avoid freezing or being a drain on the rest of the house, which is all you really need to worry about.

It can also be safety concern if those pipes are running places where you might inadvertently touch them.