We didn't do stepping (at least, mine didn't); instead, we tended to do things like Detours, where we'd target a broad set of bblocks in the program and either log, or snapshot the process when they were hit.

There is a pattern for single-stepping using similar techniques: "user mode single stepping".

One thing to bear in mind: it was easy for us to do this in part because crashing the target program was not a big deal for us.