To add a new step to your Activated Checklist, simply hit the "Enter" key on your keyboard. This will open a new step, and your cursor will automatically move to the new step.
The 'Add Step' line will not show in the finished checklist if no information is entered.
If you feel the step needs to be at a different place in the checklist, say for instance at the start, you can click on the step once you've added it. Then click on the two lines at the front of the step. Drag the step to where you want it to be and drop the step.