To step mash add hot water but I have not had great experiences using the method myself. Kai describes it in an article on his site: http://braukaiser.com/wiki/index.php?title=Infusion_Mashing I just stick to single infusion and get good results. YMMV
I split the difference and no-sparge in a bag, in a cooler. It has most of the simplicity of BIAB, but the cooler helps me hold temps better than a kettle on a stove (I’m a 3-gallon kitchen brewer). I don’t have to babysit my mash, adjust temps, worry about scorching/hot-spots, etc. It is nice for me because it is a 2-vessel system (no separate HLT required - my boil kettle is used for everything).
When I want to step mash, I simply reserve a portion of my mash liquor and heat that to boiling. It’s pretty simple using a calculator (I use Brewer’s Friend), and since I’m no-sparge mash thickness isn’t really a factor. I always boil more water than I think I need and check temps as I’m adding. This way I always ease right into whatever temp I want. Any leftover water stays in the boil kettle and my mash gets run off into that to give my full boil volume.