I disagree with inflexibly applying the logic to use steps when there's no more than a few if each step takes a substantial amount of time to perform, or even if only the first step takes considerably longer than the remainder.
For example, if the action is divided into three steps, you're right to say it sounds less intimidating and more assuring than the unknown of a zero percentage value; as a result, the user is more likely to begin the process. However, once they've moved on to step one, their perception on estimated task time is no longer influenced by a number you gave (three steps) but by the content of the first step. So, if it's a lot of information to go through, then it's quite likely they'll assume that the steps that follow are equally time consuming; of course, they may be wrong in coming to that logical assumption. As a result, they could decide against proceeding.
The point being you don't want to mislead the user in any way in regards to the estimated time it will take for them to complete a process. Yes, if you tell them what you want to hear, then you gain their attention and increase the likelihood of their participation. But, remember, that is simply the means to an end. What you should be more interested in is getting them to complete the process. If you deceive them, it's true that they may actually decide they've invested so much time in the process that they may as well as complete it now. However, remember you also need to ensure the possibility of their future participation in other activities isn't weakened i.e. if you were honest about how easy/long it will take to complete process A, they're more likely to trust your word when you ask them to complete process B in the future.