$form['step'] = array
(
  '#type' => 'value',
  '#value' => $form_state['step'], // or however you are storing the step
);

function THEME_preprocess_THEMEKEY(&$vars)
{
  $form = $vars['form'];
  // This sets up the variable
  $vars['step'] = $form['step']['#value'];
}

<?php if ($step == 1): ?>
  // output step 1 fields here
<?php elseif ($step == 2): ?>
  // output step 2 fields here
<?php endif; ?>