Everyone asks Harper Steele about “the Will Ferrell diamonds.” This is what she called a pair of diamond earrings that Mr. Ferrell gave her during one of the final scenes of their documentary “Will & Harper.” The earrings were a souvenir of their westward road trip, the transient setting of the film, but more important, they were a celebration of her coming out as a trans woman.

In 2021, at the age of 59, Ms. Steele, a comedy writer and the former head writer of “Saturday Night Live,” emailed friends that she had decided to transition to live as a woman. “It’s a wonderful thing when your mind and body revolt against the unnatural, despondent thing you’ve become,” she read aloud from her letter, on-camera in the documentary. “I’m not going to be good at this. It’s really going to be slow and awkward and terrifying and joyful. Mainly I’m hoping I don’t lose anyone I care about.”

Ms. Steele stores the Will Ferrell earrings in a box for safekeeping, only wearing them for special events. “I’m afraid to lose them,” she said. And with the exception of the fake pearls she wore during a video interview — just to balance out the rest of her outfit — Ms. Steele said she won’t wear jewelry “unless it means something.”

In a conversation that’s been edited and condensed, Ms. Steele discusses the pieces that do mean something to her: her grandmother’s ring and her granny’s watch.

Talk about the cameo ring from your paternal grandmother.

My sister is sort of the vector for the feminine side of our family — I have two girls and a nonbinary kid, and I have three brothers. I associate more with the feminine side now, and I’m very happy to be a part of that side. And so my sister gave me this ring, which is my grandmother’s.