You can do this with a wizard [1], a flow [2], mutliple visualforce pages* or a single Visualforce page like below:

MultipageController.js

public class MultipageController {
    public String step1 {
        get;
        set;
    }
    
    public String step2 {
        get;
        set;
    }
    
    public String step3 {
        get;
        set;
    }
    
    public String currentStep {
        get;
        private set;
    }
    
    public MultipageController() {
        this.currentStep = 'step1';
    }
    
    public PageReference didStep1() {
        this.currentStep = 'step2';
        return null;
    }
    
    public PageReference didStep2() {
        this.currentStep = 'step3';
        return null;
    }
    
    public PageReference didStep3() {
        this.currentStep = 'step4';
        return null;
    }
    
    public PageReference saveSteps() {
        // Do stuff to create object
        return new PageReference('/');
    }
}

Multipage.vfp

<apex:page controller="MultipageController">
    <apex:form id="page">
        <apex:outputPanel rendered="{!currentStep = 'step1'}">
            <apex:outputLabel value="Step 1" for="step1" />
            <apex:inputText value="{!step1}" id="step1" />
            <apex:commandButton action="{!didStep1}" value="Next" rerender="page" />
        </apex:outputPanel>
        <apex:outputPanel rendered="{!currentStep = 'step2'}">
            <apex:outputLabel value="Step 2" for="step2" />
            <apex:inputText value="{!step2}" id="step2" />
            <apex:commandButton action="{!didStep2}" value="Next" rerender="page" />
        </apex:outputPanel>
        <apex:outputPanel rendered="{!currentStep = 'step3'}">
            <apex:outputLabel value="Step 3" for="step3" />
            <apex:inputText value="{!step3}" id="step3" />
            <apex:commandButton action="{!didStep3}" value="Next" rerender="page" />
        </apex:outputPanel>
        <apex:outputPanel rendered="{!currentStep = 'step4'}">
            <apex:outputLabel value="Step 1" for="step4_1" />
            <apex:outputText value="{!step1}" id="step4_1" />
            <apex:outputLabel value="Step 2" for="step4_2" />
            <apex:outputText value="{!step2}" id="step4_2" />
            <apex:outputLabel value="Step 3" for="step4_3" />
            <apex:outputText value="{!step3}" id="step4_3" />
            <apex:commandButton action="{!saveSteps}" value="Save" />
        </apex:outputPanel>
    </apex:form>
</apex:page>

You could also do the same thing with remote actions [3] and do it all in Javascript and Ajax (take a look at ng-force [4] if you are familiar with Angular).  Past this, you'll have to do it on your own and then if you have any specific issues feel free to post specific questions.

* You can pass data via the URL with url parameters

[1] https://developer.salesforce.com/docs/atlas.en-us.pages.meta/pages/pages_quick_start_wizard.htm
[2] https://developer.salesforce.com/trailhead/business_process_automation/flow
[3] https://developer.salesforce.com/docs/atlas.en-us.pages.meta/pages/pages_js_remoting.htm
[4] https://github.com/noeticpenguin/ngForce