Measure the height of the bathtub from the floor with a measuring tape. This will help you determine the number of steps you need. You should have one step for each 8 inches of distance between the floor and the top of the bathtub.
Mark four sheets of 1/2-inch-thick plywood on each end at 8-inch intervals. Draw a line between the 8-inch marks at each end, using a metal straightedge as a guide. Draw lines perpendicular to the 8-inch lines at 12-inch intervals to form a grid. This will provide an outline for the step sides.
Cut the plywood sections along the lines with a table saw to form the step sides. Apply wood glue to two of the plywood sections and place one of the remaining sections on each glued section to form the step sides. Tighten C-clamps on the step sides and allow the glue to dry overnight.
Cut sections of 1/2-inch-thick plywood into rectangles measuring 36 inches by 8 inches. These sections form the fronts of the steps; you need one section for each step. Cut an additional section into a rectangle measuring 36 inches by 12 inches for the top of each step.
Stand the step sides 36 inches apart. Using a drill equipped with a screwdriver bit, attach one front section to the side frames with 4-inch wood screws for each step. Attach one top section to the frames for each step in the same manner.
Coat the entire frame with water-based urethane using a paintbrush. This prevents moisture from the thinset mortar from penetrating the wood. Allow the urethane to dry for four to six hours.
Apply thin set mortar to the backs of ceramic tiles with a putty knife. Cover the plywood frame with ceramic tiles, tapping each tile into place with a rubber mallet. Cut tiles as necessary to fit with a wet saw.
Apply grout to the seams between the ceramic tiles with a grout float. As the grout begins to dry, wipe away excess grout with a damp sponge.