CPU Stepping is actually the version or revision of the cpu. The need for a revision is for better compatibility, getting rid of bug and glitches and stability. Also revision may expand the cpu compatibility to different chipset layouts. Overall revision are done to better the function of the cpu.
It usually starts with A-0 or A0, a letter and followed by a number. A0 are usually the first batch to sell. Then overtime if the manufacturer will find a bug or can make it better then they will implement the revision of the cpu. Minor changes will only change the number corresponding the cpu stepping. For example an A0 has minor changes then it will be A1, A2 and so on. For major changes then it will change the letter as well. For example A0 have major changes then it will come out as B0. Notice the letter is change from A to B.
These letter and number is there to indicate what version the cpu is. This can be recognize or shown by some softwares like CPU-Z. Of course when people are talking about CPU Stepping and overclocking, it closely ties with each other since a latest version of the cpu can be overclock more stable. However I cannot say that the latest version would be better in overclocking all the time.
So be carefuly when choosing a specific revision of the cpu. Eventhough latest version of that chip is better it might not be compatible with older components that are specifically designed to run an older version of that cpu. However some motherboards have bios update to better suite the wide selection of the cpu revision. So having the right motherboard bios and cpu stepping can help in the stability of the system and not to mention a more stable in overclocking.