If you are steeping them, then you do not need to do a step mash. 30 minutes at 150°F will do fine.
If you are mashing them, you'll need malted grains with plenty of diastatic power, or an enzyme blend that contains protease, beta-glucanase, and both alpha- and beta-amylase. Either way, you will want to boil the oats separately first, then you'll want to step-mash as follows:
Step 1: 30 minutes at between 90°F and 120°F (I'm not sure what's optimal, it will depend on your source of enzymes)
Step 2: 30 minutes at 135°F
Step 3: Saccharification rest between 145°F and 155°F--lower for more beta activity and a drier/more highly-attenuated beer, higher for more alpha activity and a sweeter/lower-attenuated beer.
Step 4: Mash out at 170°F