Stones which are classified as flux materials can be used in the creation of pig iron and steel at a smelter. All flux has a material value of 2, which is twice that of common stone (material value 1), making it preferable for workshops, construction, and most all stone products. (Only obsidian and some higher-value ores have a higher material value for stonework.)
Note that blocks made out of flux materials cannot be used in the production of pig iron or steel.
The following stones fall under this reaction class:
All flux stones form layers, except for calcite, which exists as small clusters within other flux layers. Whether or not a site has flux can be determined from the pre-embark screen. Limestone, dolomite and chalk form sedimentary layers, which can have large deposits of iron-bearing ore. Marble is a metamorphic layer, so it can be found within almost any biome; notably, marble can be found in the same biome as igneous extrusive layers (i.e. near volcanoes), unlike sedimentary layers.
 Trading for flux
If your map has no flux on it (which is a common situation), then you can request it from the dwarven traders (assuming the traders have access to flux, which is not guaranteed*). Make sure you order (flux material) stone, which is in the material section, since you can't use flux blocks to create steel.
- If you are able to bring flux stone at embark, you will be able to request it from the caravan in meetings with the liaison (as with pretty much everything else), but they aren't likely to bring much, generally 3 or 4 stones of each type. Your steel industry may be better served by requesting steel bars directly or by buying up everything they have that's made of steel, especially toys, instruments, and crafts, and melting it all down.