Smaller people do live longer
The entropy theory on aging.
**broken link removed**
It has long been proven in animal models, but with humans it is hard to prove because of so many factors like socioeconomic and life choices.
From the conclusion:
"Conclusions
The data provided in this article support the entropy theory of aging, which hypothesizes that increasing human size is in conflict with a maximum life span. Because of the diversity of the deceased populations that have been studied in this connection, we feel that sufficient evidence is available to conclude that smaller size is preferable for better human health and increased longevity. However, small size caused by malnutrition, childhood illnesses, or other harmful environmental factors will not promote better health and longevity. Of course, height and weight are only two of the factors that play a role in determining longevity. Other factors include low weight-for-height, good nutrition, genetic factors, stress management, wholesome life-style, regular exercise, higher socioeconomic status, good social and marital relationships, and good quality medical care. The thesis that "smaller is better" is difficult to accept in view of the conventional wisdom that the opposite is true. Additional research which minimizes socioeconomic and other confounding factors is needed in this area."
So steroids do have their side effects which can increase the risk of an earlier death, but just the mere fact that they allow you to carry more mass than natural is going to decrease your lifespan.