I have a better way: 1. Buy soundtrack. 2. Open iTunes. 3. Put CD on iTunes. You can download the soundtrack from anywhere, then just import the folder into iTunes, you don't need Step Mania or anything.
You should really support SE though. You should tell them that. And the whole soundtrack can be found for download on various websites all over the web, it doesn't take much digging in to. I bought all the soundtracks myself.