The first documented steam engine was built by hero of Alexandria in the first century AD. It worked much as you describe, except that it was a rotary engine and the whole boiler rotated. In the last century, ships and power stations increasingly came to employ continuous-flow steam turbines. Many, including all coal and nuclear fuelled power stations, still do.
Turbojets and turbofans are also examples of heat engines which run continuously. Fuel-burning rockets provide an example which does not even need to turn a wheel.
You are thinking of the piston engine, which chuffs cyclically in and out of its cylinder to turn a crank shaft round. Pistons have many advantages over continuous-cycle operation. They are more flexible in operation, able to deliver wider combinations of power vs. speed according to the control settings, and all with near-instantaneous response and reasonably good efficiency - i.e. low fuel consumption - throughout. They are cheaper and easier to make, and especially to repair. The internal combustion variety can be tailored to burn a wider range of fuels. Altogether far more practical for most road vehicles and general stationary duties.
However the piston engine has its limitations. For near-constant-speed, near-constant-output regimes the piston is indeed less efficient than the turbine. Also its power-to-weight ratio is not as good and gas flow rates are more limited, making it unsuitable for high-speed or very-high-altitude aircraft. And of course it cannot drive a space rocket.