Hi,
I don't think you need to add custom steps to the checkout for that.
You already have that intermediary step in the checkout. At the end of the checkout, the order is created in the database, and the end page is displayed with a message that says "please wait while you're being redirected" and a button bellow which is auto clicked for the customer to redirect to the payment gateway.
So in your case, what I would do is just adapt the text with a translation override and remove the auto click on the button and you should have the same thing as what you need.
Now, that end page with the text and the auto clicked button is actually displayed by the payment plugin you're using.
For example, for paypal, it's in the file plugins/hikashoppayment/paypal_end.php where you'll find the text and the button along with the javascript for the auto click.
I think the best will be to modify that file (or the file of the payment plugin you're using).