"The first step" seems natural to me. There can just be one first step, and therefore, 'the' should be used. 'A' is generally used wherein you can think of more than one things.
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Tijay1.A first step is always the hardest2.The first step is always the hardestBoth are correct.
karansardanaWell, now that fivejedjon is saying "it's accepted", I'd love to understand more on this.The decision of the bishops of the Church of X to put discussion of gay marriage onto the agenda of their next conference is the/a first step in the struggle to get all the churches of Xland to allow gay marriages.