Bimetalic Transition inserts can be used . The arc welding of these steel aluminum transition inserts can be performed by the normal arc welding methods s. One side of the insert is welded steel-to-steel and the other aluminum-to-aluminum.

Welding of Aluminium by Arc welding is a great problem due to the formation of Alumina.Alumina being more in weight than Aluminium,will cause slag inclusions.
Al-Al welds can be made by using TIG,MIG,Friction welding etc.,
When it comes to Dissimilar metal welds, TIG and MIG can never be used due to unavailability of Filler.(However for small thickness TIG can be used without Filler).
Friction Stir Welding is a latest process which is apt for this situation.It can be done with Vertical Milling Machine.You need a tool alone. FSW setup is avilable in many educational and research institutes.
Also Al-Steel joints can be made by Bimetallic strip,however it is a third member and adds to the weight of the weld and the strength is low.Yet it is apt if your samples are less in number.Bimetallic strips are available and you can buy and easily weld,Al-Al and Steel-Steel.

Metal arc welding, gas tungsten arc welding, gas metal arc welding, and submerged arc welding can be used to join dissimilar metals but the high energy inputs of these welding techniques may result in material metallurgical mismatch. Therefore advanced welding techniques like laser welding, ultrasonic welding, friction spot welding, and friction stir welding processes are more feasible.