Click on Classrooms in the top left of the window

Click on the Classroom Entries Tab at the top

Click on Add New Classroom on the right

Give the step a Title. That is what will show on the left of the window in the list of steps.
The Body section is where you will put the content for this step. You may want to buld all of the steps first and then come back and add the content. You can also add or remove steps later.

Finish setting up your Step by completing these sections:

CLASSROOM: You can add a step to more than one class at a time. While you are editing or adding new content, hold down the Ctrl key (Alt on a MAC) and select the classes to which you want to add the Step.
NSMI TAG: You can enter a tag here.
STATE: Select All or just your own state.
GROUPS AUDIENCE: Ordinarily you would apply the step within your own site. If you have registered for more than one site, you can select multiple sites here if you'd like.
FILE ATTACHMENT: It is possible to upload a file to attach to a Step. See the Step on adding Files, Graphics and Hyperlinks for more details.
Click on SAVE when done.