Fiendish Codex II says that "[s]teel devils are consummate soldiers. They have no purpose or drive to do anything other than to march in step to battle" (138).
However, steel devils aren't mindless—they're described as intelligent and clever. So how would a steel devil act if it were on its own—without a devilish commander—if were to, for example, stumble accidentally through a portal?
I know there's not a lot of information about steel devils. This means that answers can draw from, for example, experience in playing or running a campaign with a rogue steel devil or other super-lawful creature that is used to following orders and now can't. Or, for example, an answer can draw on an expert's knowledge of how devils and similar creatures behave generally when undirected.