What you got here is pretty good, but there are a few things to tweak.
Ferrothorn doesn't need both Spikes and Stealth Rock. One hazard is generally enough. So pick one and swap it with Thunder Wave.
Excadrill gets great coverage just through Earthquake and Rock Slide, so Brick Break can be replaced with Swords Dance for extra power.
Klefki is Taunt and set-up bait the way you have it (I really wish it got Will-o-wisp and Taunt, but whatever). So replace Thunder Wave with Foul Play.
Ancient Power doesn't go much for Heatran, but there's not much to replace it with since it has HP Ice. But you could swap it with Flash Cannon; your Steel team only has one other Steel attack.
Mawile is too slow, not quite bulky enough, and lacks the recovery needed to make use of Substitute. Fire Fang or Ice Fang should be used in its place. And between Play Rough and Iron Head, go with Play Rough.
Here's a tl;dr version of what Zekrom said:
Ferrothorn:
-Spikes/Stealth Rock
-Leech Seed
-Gyro Ball/Thunder Wave
-Power Whip/Protect
Nature: Relaxed
EVs: 252 HP/48 Def/208 SDef
Item: Leftovers
Ability: Iron Barbs
Excadrill:
-Earthquake
-Rock Slide/Iron Head
-Rapid Spin
-Swords Dance/Stealth Rock
Nature: Adamant/Jolly
EVs: 252 Atk/4 Def/252 Spe
Item: Leftovers/Air Balloon/Chople Berry
Ability: Mold Breaker
or
-Earthquake
-Iron Head
-Rock Slide
-Rapid Spin
Nature: Adamant/Jolly
EVs: 120 HP/136 Atk/252 SDef (Adamant) or 252 Atk/4 Def/252 Spe (Jolly)
Item: Assault Vest (Adamant)/Choice Scarf (Jolly)
Ability: Mold Breaker
Klefki (it needs an attacking move, as Zekrom mentioned; Dazzling Gleam is viable because it's a STAB):
-Reflect
-Light Screen
-Spikes
-Dazzling Gleam/Foul Play
Nature: Bold
EVs: 252 HP/152 Def/104 SDef
Item: Light Clay
Ability: Prankster
or
-Spikes
-Dazzling Gleam
-Foul Play
-Thunder Wave
Nature: Bold
EVs: 252 HP/152 Def/104 SDef
Item: Leftovers
Ability: Prankster
Heatran can not only run offensive sets, but defensive ones as well:
-Lava Plume
-Protect
-Roar/Earth Power
-Toxic/Stealth Rock/Will-o-Wisp
Nature: Calm
EVs: 248 HP/8 Def/252 SDef
Item: Leftovers
Ability: Flash Fire
or
-Fire Blast
-Earth Power
-Hidden Power (Ice)/Stealth Rock
-Will-o-Wisp/Toxic
Nature: Timid
EVs: 252 SAtk/4 SDef/252 Spe
Item: Air Balloon/Leftovers
Ability: Flash Fire
or
-Fire Blast/Overheat
-Flash Cannon
-Earth Power
-Hidden Power (Ice)/Flamethrower
Nature: Timid/Modest
EVs: 252 SAtk/4 SDef/252 Spe
Item: Choice Specs/Choice Scarf
Ability: Flash Fire
or
-Magma Storm
-Toxic
-Taunt
-Protect
Nature: Calm
EVs: 248 HP/252 SDef/8 Spe
Item: Leftovers
Ability: Flash Fire
Swords Dance + King's Shield Aegislash is too easily played around and walled:
-Shadow Ball
-Sacred Sword
-Shadow Sneak/Iron Head
-King's Shield
Nature: Quiet
EVs: 240 HP/252 SAtk/16 Spe
Item: Leftovers
or
-Shadow Ball
-Sacred Sword
-Shadow Sneak
-King's Shield/Iron Head/Pursuit
Nature: Quiet
EVs: 244 Atk/252 SAtk/12 Spe
Item: Life Orb/Spooky Plate/Spell Tag
or
-Swords Dance
-Shadow Sneak
-Iron Head
-Sacred Sword/Head Smash
Nature: Adamant
EVs: 4 HP/252 Atk/252 Spe
Item: Life Orb
or
-Swords Dance
-King's Shield
-Shadow Sneak
-Sacred Sword
Nature: Adamant
EVs: 252 HP/252 Atk/4 SDef
Item: Leftovers
or
-Autotomize
-Shadow Ball
-Hidden Power (Ice)
-Sacred Sword/Iron Head/Flash Cannon
Nature: Rash/Modest
EVs: 88 Atk/252 SAtk/168 Spe
Item: Life Orb/Weakness Policy
or
-Shadow Ball
-Pursuit
-Toxic
-King's Shield
Nature: Sassy
EVs: 252 HP/4 SAtk/252 SDef
Item: Leftovers
Mawile generally runs enough Speed to outrun Tyranitar, Aegislash and Scizor:
-Play Rough
-Sucker Punch
-Fire Fang/Iron Head/Swords Dance
-Swords Dance/Substitute
Nature: Adamant
EVs: 132 HP/252 Atk/124 Spe
Item: Mawilite
Ability: Intimidate