I know step mashing is used a lot by German breweries, and Charlie swears by it, but with modern highly modified malts it is an unnecessary step. I agree with Denny. I have never found any benefit to it and prefer to stick with the KISS principle in brewing. The only times you would need to do one (for a protein rest) is if you are using large amounts of unmalted wheat, barley or oats and were concerned about the effects of the excessive amounts of long chain proteins in the beer (clarity, mouthfeel, etc.) You can make excellent examples of any German beer style without step mashing.
Step mashing and using a protein rest with highly modified malts risks breaking down protein chains to the point where head development in the beer is impaired.
Many brewers seem to love to over-complicate their brewing and this is a good example of that. Adding complication to your brewing process, can make it more difficult to achieve consistency in your brewing, one of the keys to becoming a great brewer, and often can risk achieving the good beer you were striving for. Again, KISS.