"Get creative", yeah. I'm afraid that is exactly what you have to do, since there's no easy way to do it. You may have to use a whole bunch of "On Player Touch" events that contain a "Loop" which checks for a direction button to be pressed. Maybe that will feel sort of laggy, though - you'd have to test it - ... hmmm ... well, you know, if I was to make that sort of thing, I would probably just have ONE event at the foot and the ... head? ... of the stairs that automatically moves the player diagonally across the stairs. That is the fastest and least bug-susceptible way of doing it, in my opinion. :) If that's okay with you?
EDIT: I think I should add to this that I as a player would be completely fine with that kind of diagonal stairs that move me automatically across themselves. ;)