I do not have any experience with Hornby Live steam - although I do recall they have some models in HO gauge or O gauge? The kits seem fairly well sorted though, and comparably inexpensive compared to large scale live steam.
I have a large scale live steam engine, known as the Frank S. It was made by LGB/Aster in 1989. It is a lot of fun, even though mine needed a complete rebuild to address time spent in a box and a frozen steam cylinder. I just got it up and running a couple months ago.