New to gravel grinding - have an old 29er steel frame. Looking to build it into a gravel bike with drop down bars. Appreciate any recommendations

I first got into this style of riding by converting my old Vassago Jabber into a mtn bike with drops.  It worked great for about a year or so but then I just started to feel a bit stretched out.  Well, that's an understatement.  I was waaaayyyyy stretched out.  It became uncomfortable so I decided to pick up a frame/fork and throw all my parts on it.  It's the main bike I ride now.  It's a Soma Wolverine with carbon fork.

I say this because the drops will push you out much further than the flat bar.  Plus, you'll need to get long pull lever brakes or brifters, depending on how you want to ride it and assuming you go disk brakes.  If you only need the brake levers, Tektro makes long pull brakes that are dirt cheap ($25).  I've been using them for almost 2 years now and no complaints.

As for other components, buy what you want, are comfortable with or can afford.  I'm running mtn bike cranks, gears, and derailleurs as that's what I had on hand.  I plan on upgrading the cranks at some point.

Hopefully others will chime in that can explain things much better than I can.

Honestly, your bike was already very capable for gravel riding in its stock configuration -- wide tires, low gearing, and hydraulic discs. If I was in your shoes, I'd just replace the stolen parts the same or slightly better ones -- tubeless compatible wheels, tubeless tires of a size and tread appropriate to the terrain you want to ride, and the same rotors and cassette. Much more (like converting to drop bars), and you might as well shop for a new bike, since you'll likely exceed the $800 original cost of the bike.

I've done this to two different bikes now because I was not entirely satisfied with the results of the first bike.  It was an old fat bike and I moved and did not need the super fat tires anymore.  I had a lot of parts from past projects, so I rebuilt the hubs with 29er rims and drop bars.  In order to shorten the saddle to bar distance I put a zero-setback post on it and pushed the saddle all the way forward.  That seemed to work pretty well for me.  It also had a shock which suited the semi-mtb gravel riding I did.  That was a pretty fun bike if I stayed primarily off-road and with a shock it could handle some pretty rough terrain while still rolling well on the road.  
I was not in love with it so I tried a more traditional gravel style bike (made out of an old hybrid frame) but I found that for most of my riding, I wanted bigger tires (like 2.0). 
My second mtb-to-gravel/all-road started with a Niner Emd  frame.  I found a MRP XC fork and used a 29 rear/27.5 front tire to get the front end down a bit and I like the steering of the smaller wheel better.  I ground down the bottom bracket shell so I could use my power meter road crank and lower q-factor.  It has 46x30/11-42 gearing.  It worked like a dream and now I rarely ride other bikes because as an all-road machine it covers 90 percent of the type of riding I like to do.  It is a bit steep for heavy off-road and for long road climbs it is not ideal, but everything else is great.
Using a mtb frame as a base makes the most sense if you feel like you need to roll with bigger tires.  And maybe a shock.  I did two gravel races this summer and the best thing I can say was that I did not think about the bike at all.  

I've done several drop bar MTB conversions and here are some of the basic challenges:

1. Fit. 
As mentioned by others, MTB's have much longer reach than a comparably sized road bike and people tend to like a bit less reach on their gravel bike than their road bike.  The different reach is to compensate for the additional reach of the drop bars on road bikes.

I'd suggest taking your favorite road bike and getting the measurement for:
Reach (center of BB to center of HT at the top)
Stack (vertical distance from center of BB to top of HT). 

These will give you the information you'll need for stem length and rise and more importantly will be a good indication of how the bike will (or will not) fit.  If your bikes are new-ish the manufacturer may have these numbers on their web site.

2. Rear Shifting/Derailleurs:
Not all MTB derailleurs will work with road shifters.  The 8 & 9 speed Shimano mountain derailleurs have the same "pull ratio" as the road derailleurs.  In fact, Shimano's 10 speed road shifters will work with everything down to 6 speed.  SRAM of course has a completely different set of rules... 

The SRAM Exact Actuation 9, 10 & 11 speed road shifters are compatible with SRAM 9 & 10 Exact mountain derailleurs but NOT the new SRAM 11 & 12 speed mountain. 

Here's more info...
https://bike.bikegremlin.com/1339/bicycle-rear-shifter-compatibility/

3. Front Shifting/Derailleurs: 
Unfortunately there is little information on the cable pull ratios of front shifters & derailleurs. A couple other things to consider:
MTB cranksets generally have much smaller chainrings than road bikes so the derailleur is shaped for the smaller radius so fitting a road derailleur to a MTB crankset can create problems (ex. the end of the cage may rub the chain when in small cassette cogs, or worse it could hit the tire).
 
MTB bottom bracket shells are wider which pushes the chainrings farther from where the FD is mounted. Thus many road FD's can't push the chain far enough to get it onto the large chainring.

Here's some info on FD's but while they talk about the cable pull, there is no table provided.
https://www.bikeradar.com/features/sram-and-shimano-front-derailleur-types-and-mounts-explained/

More info but alas no cable pull details...
https://sheldonbrown.com/front-derailers.html

Another option I've seen is to find drop handlebars which have the mountain bike standard 22.2 mm diameter where the shifters and brakes are clamped. Road bikes have a standard 23.8 mm diameter where the brakes clamp. Using this type of drop bar would allow you to use MTB shifters and old school road brake levers (aka levers without the shifters).

One other option is to go full Frankenbike on the drivetrain...  I have a road bike with Campagnolo Ergo 10 speed shifters to a SRAM Exact Actuation derailleurs and a 10 speed Shimano cassette.  I did this based on the recommendation by Leonard Zinn who writes the Technical Q&A at Velo News. Oh and yes this works like a dream.  Jtek makes "Shiftmate" adapters to run all kinds of combinations, but again the bike I setup works great without the Shiftmate.

Good luck with your project!
Greg