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_
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
is only for fast debugging
that's my opinion (if I understand question right)