If you want log steps of the SP_ you can use loging into log_table.

You can lo step (which is executed), Getdate(),...

you can add sp_name column to log more than one SP_.

It can slow executing your sp_

option :

declare @Mess varchar(200)

set @Mess = ' now is executing step...' + convert(varchar(50), getdate(), 121)

RAISERROR (@mess ,10,1) WITH NOWAIT

is better for running long executing scripts

option:

PRINT

is only for fast debugging

that's my opinion (if I understand question right)