Since you're just starting with AG, I would strongly advise against step mashing until you're sure you want to do it and have a few single infusions under your belt. You will probably find you don't need it at all, since modern malts are generally highly modified, and you can actually do more harm than good in many cases by stepping highly modified grain.
Note that I'm not saying never to do it, but if you're just taking the plunge, you'll be happier if you focus on just maintaining a constant rest temp. To maintain that temp, you can use a number of methods that you'll find documented here on HBT: RIMS, HERMS, SIMS, SHRIMP (that's mine, not documented yet

). The one method I wouldn't recommend is the one you suggested

, specifically the plate exchanger. You'll definitely have a problem with grain clogging it, unless you use diverter valves to recirculate to set the grainbed and clarify first. If you have a CFC, you can use that. You could also go with a small dedicated HERMS chamber. It's basically an insulated 1 gallon container with a heating element in it and stuffed with a copper coil. Keep in mind that none of these methods (except steam injection or direct heat) are very good at ramping temps at reasonable rates.

MrH