To OP:
Have you ever hooked, gouged or bent your current rims? I never have and when comparing the weight, I figure saving 10lbs per wheel justified going with alloy.
Now if within my use, I was experiencing rim damage as a reoccurring issue, I suppose I would consider steel.
I too am on the fence going from 33 to 35. Once I started researching the weight increase, and considering the on/road off road use and long term wear and tear, I think I am leaning toward sticking with 33's and my XJ is basically an around town extra car.
One big difference between me and you is that I am on 33x10.5's, so my jump to 35's also brings with it a jump to 12.5 and 8" rims.
Regardless, once I started listing the actual weight per wheel/tire per option, I decided the extra wheel height was not worth the weight.
Oh....and don't forget gearing and factor added leverage/stress for decreased offset.
It really comes down to your intended use, build and willingness to fix/upgrade stuff.