With the released Raiding Clans Expansion, I have ventured out to the waterfall cave myself to be one of the first few people to get a steed.
 
Here are some screenshots taken when I was there, many people were desperate and tried to go about PKing people so they would drop their saddles. Yes, saddles drop when the players die! Many will feel very anxious when hunting around there, as people might just PK you out of no reason to get your saddle! Good tankers and hunters will be the best preferred class to hunt the saddles.

Tankers are to protect yourself against the desperate players who PK you to make you drop your saddle. Hunters are for you to kill very fast, so you can get as many saddles in minimal time. Examples of such great hunters are archers, with their awesome scatter. Tankers would be warriors, as they have the highest defence amongst all the classes.

Before you go off for waterfall cave, you should prepare yourself some pots and scrolls, for immediate escape if anyone tried to PK you. Players there are mostly above level 100, as they will be the ones who can kill the cattle thieves, which are found there and they are the only ones that drop the saddles for you to exchange for a horse.
Here are some tips for you to hunt lots of saddles in minimal time.
1. Look out for the ThieveLeader. From what I know, they have a 100% drop of saddles from my total kills of them. I got a saddle from every single kill.

2. Look out for PlainThieves. They have a higher chance of dropping a saddle then the other common thieves.

3. Both of the thieves are rare, and they do not have a regular spawn. So try to kill any players who are hitting them by taking the last hit, and then pick up the saddle.

4. PK: PKing the players whom you saw had just picked up a saddle. Kill him, pick up the saddle he will drop, and then logout in case people tries to kill you, then log back in.

5. Just easily buy it from the shopping mall! It costs 12CPs for a +1 steed, 144Cps for a +3 steed, and 3888Cps for a +6 stead.

Having a +6 stead will allow you to ride in the market! Cool, isn't it? +4 will allow you to ride in the cities. The horse from +0 to +3 will allow you to ride anywhere outside the city! But except some places like the waterfall cave. 
 
Players will have a real great time hunting the saddles, for they're totally rare. Here is the composition method for saddles:

+0 steed as minor adds 1 lineage points
+1 steed as minor adds 10 lineage points
+2 steed as minor adds 20 lineage points

And so on and forth. From what I know, +0 steeds requires 20 lineage points to +1, +1 requires 40 lineage points, +2 requires 90 lineage points. Haven't tried +3, and never seen anyone with it so far.

So what you waiting for? Hurry to waterfall cave which located on the top right hand of the phoenix castle map and hunt your saddles now! Good luck!