Asthma attacks can be very scary, so you're not alone in those feelings and you're right to have them.
Yes, I have heard that sitting in a hot shower or steamy room can ease breathing trouble, but I think that works best for people with rhinitis, stuffy nose, or phlegmy cough. Have you tried it for your asthma? If it works for you, then I say keep doing it. But you'll never rid yourself of asthma symptoms just with hot showers. You have to have the right medication to get your asthma under control and avoid the scary attacks.
Did the doctor prescribe you with any asthma medications? Usually, you'll get a bronchodilator -- which is a fancy word for a drug that relaxes the muscles in your lungs that squeeze your airways when you're having an asthma attack. Bronchodilators can work fast, relaxing the muscles within a few minutes, or they can be long acting, continually working fpr hours to keep the muscles relaxed, but they don't work quickly.
You'll also probably need an anti-inflammatory drug. The anti-inflammatory keeps your airways from swelling, which also makes it hard to breathe. Some asthma inhalers have both kinds of medicine in them.
Go back to your doctor and explain your concerns and your symptoms. Your doctor has to help you determine which medicines are best for you.
You can also click the blue links below to learn a lot more about asthma treatment:
An Adult's Guide to Asthma
Asthma Drugs From A to Z
Building An Asthma Action Plan
Combination Asthma Inhalers = Increased Convenience + Better Asthma Control
Hang in there!