Have you made one step for each database that the SP needs to run over?
On the job step properties, click advanced. You will then see "On success action" and make sure "go to the next step" is chosen. (You have to do this for each and every step untill the last one)
So, when Step1 completes, Step2 will run, when it completes Step3 will run and so on.
If not and your using just 1 job step to do it in a "batch" like so:
, then as John said your going to need to do some error handling and such.
Do you need to ensure that the previous step is successful before the next one runs, or can the next step run even the first one fails?