I wrote up a little plugin for doing wizard like work, you can check it out at: http://svn.trac.washington.edu/svn/plugins/multi_stage_wizard/
The easiest way to use it is to persist the object in the user's session, however you can get around that if you want to. You might also look into Tableless Models if you are using your wizard to model a process instead of incrementally filling out a record.
Hope that helps, send me an email if you have any questions, .adam