The purpose of learning and practicing a steep turn is to train a pilot to maintain control of an aircraft in cases of emergency such as structural damage, loss of power in one engine etc.
Entry procedure for a steep turn involves putting the aircraft into a bank (left or right), simultaneously increasing the thrust adequately to maintain altitude, while pulling back on the flight stick or flight yoke to speed up the turning process.
The pilot is expected to constantly look outside the aircraft while keeping a close check on the Attitude indicator for angle of bank.
This requires the pilot to exert backward pressure on the flight stick or column to raise the nose, thereby creating more lift to maintain altitude.
In the event that backward pressure is not exerted on the stick / column, the aircraft will tend to lose altitude.