Well, to begin with, the game is set in a third-party campaign setting called Iron Kingdoms. The 3.5 books are no longer being supported by the company that publishes it, but most of them are available legally for purchase as pdfs online, assuming you aren't the type to illegally download things like that. You should probably try to familiarize yourself with the setting in one way or another, since it's going to be a pretty big part of the game.
The opening post also contains a link to some free online fan-generated content for 3.5 in general that you should probably download, since this game will be making use of it. It's going to be a more optimized, higher-powered game in general, from the looks of things, so you shouldn't really need to 'round out' anything. Just come up with a character that you'd like to play, and see if kongming thinks you'd fit in. ^^
Oh yeah, character concepts. Well, my 'primary' by now is obviously the Team Pet Steamjack, but if kong will accept a Token Male teammember, I'd probably be playing a Khadoran ex-patriate, either a Widowmaker sniper or a former Man-O-War pilot (a melee brawler now, with or without a custom suit of steam armor).
Hmm. You know, you being a Steamjack would actually bring up some interesting possibilities for the group as a whole, now that I think about it. Warjacks are generally restricted to militaries only in the Iron Kingdoms, but many mercenary companies also have special permission to use them, though they usually have obsolete models bought off the black market. Having our group be a mercenary company could explain at the very least how a number of the characters know one another...
My character concept is, of course, a Silver Dragon. ^^ Specifically, one with a massive scar across her chest, and who has been in hiding for a while and is now curious about the world outside her lair. Ideally, it'll be a character that's really fun to roleplay.