In order to avoid multiple, redundant actions in controller you can use scenarios (in your controller), when initalizing AR in each step (i.e. $model=MyARecord("step1"); ). Using scenarios also enable you to get rid off mutiple view-files (i.e. view_step1.php, …_step2.php) by detecting used scenario in view and structuring it for example with a switch construct (based on detected scenario) .
This certainly would be "a yii-way to do it", nevertheless there are others…
one more hint: current/previous scenario ("step") you can transport between your requests in form of a hidden field and validation rules can be defined dedicated to each scenario by using the "on" operator