Will I lose any data by deleting a Step?

How to save your data when deleting a Step in your Workflow 

When deleting a Step from a Workflow, any Records that are currently in that Step will also be deleted unless you transfer them to a different Step. You will be notified during the Step Deletion process if there are any Records currently within that Step and given the opportunity to move them, as shown in the screenshot below: 

As long as a Record is not deleted, any data previously entered in any Step in that Workflow will still be retained as part of the Record.