You step to your right first, then return to the start, then repeat the same action on your left side. Be sure, of course, to step with your hip still over your lead foot. In other words, don't put your foot over there, then move your hip over it. The two should move together.
Here's how it applies to nage waza. First, I do the pre-turned step to my right (for example; you could start on either side). Uke will find that he's no longer facing me, so he'll turn as well in order to square back up again. As he's doing so, or just as he finishes, I make the same pre-turned step to my left.
Doing just that creates such a wonderful kuzushi with all kinds of possibilities. This morning we worked on sasae tsurikomi ashi. Here's a few videos for your viewing pleasure.
The embedding was disabled on this one, but watch it on YouTube, and even though you can't really understand him, he talks about the same pre-turned step.
First we did static uchi komi practice. Uke just stands there the whole time, both of you with your traditional grips. Tori takes a pre-turned step to his right, but uses his trailing left foot to prop uke's far (right) foot. Tori should also lift his left elbow to make uke pitch his shoulders forward slightly.
From that position—and this is important—tori should put his left back down on the mat pre-turned, pointing at uke's toes so that he goes right back to position #1 above. Then do the same thing to the other side. Get a lot of reps and then switch roles.
Because taking a pre-turned step is not just important to entering many throws, it's also very important to setting up a number of secondary throws, or renraku waza. Learning to move with that pre-turned step will also help you to be able to dance out of your partner's throw attempts, and immediately find yourself in a position to counter.