I'd originally posted this as a comment. But because I disagree with both answers here, I'll post it as an answer so anyone who agrees with me can upvote it.
You can separate any or all of the steps using either or both of and and then. It's really just a matter of style with very little significance - except that if you use neither conjunction, even before the last step, it can sound a bit brusque.
I'll also add that personally I think it's stylistically odd to reduce the conjunctive forms as you list the steps. For example, I don't much like...
*Do step1, and then step2, then step3.
...it's more common to increase them...
Do step1, step2, then step3 (or ...step2, and step3).
Do step1, then step2, and then step3.