HPLC is well suited to and has a long history of measuring hormones. *Proper sample prep is essential before injection.
Many detection modes are available with LC//DAD/MS and LC/DAD being the most popular. A keyword search on the web should turn up plenty of papers, articles, application notes and related methods.
If you want to measure only one (or few) certain steroids, you may consider to use other methods than HPLC, especially if the expected concentration is very low. Direct measurement of steroids with UV-Vis detector is only possible with high(er) concentration(s) of the steroid you want to measure or after a pretreatment as mentioned in the article linked above. Better methods to measure steroids are the radioimmunoassay (RIA) or ELISA.