Start at the bottom and work up. A base of gravel is the way to go. Done right, concrete is not necessary, and in most cases, detracts from the job in my opinion. The top surfaces of the stone should tilt slightly, ever so slightly, back in towards the hill.

Hi popi,
I agree, cementing the stones in place is not necessary and may actually pose some problems. First of all if you do decide to cement wait awhile after setting the stones before you do it. They will most certainly settle and the newly dug soil will compact a bit. You may decide after looking at it for a while that you would like to change it a bet. Also consider that no matter what you do weeds will inevatably grow under your stairs and you may want to remove a stone every so often if you get an especially tough dandlion or some quack grass underneath it. If you don't cement you could also put some cute little rock garden plant in the cracks. If you plan to use plants then be sure to use some other kind of crushed gravel besides lime stone because the ph that limesstone creates is not liked my most plants.
Learned from experience on this one.
Catrina