new exterior cellar door with retaining walls and steps
 

How do I build a retaining walls and steps for an exit from my cellar using a bilco door

Not really a great DIY job unless your very advanced. It would be far better to hire a pro on this one. Your going to need a back hoe, special concrete saws.
You would be far better off buying a one piece bulkhead instead of trying to build retaining walls, far less likly to leak.
http://www.affordableconcretecutting.net/installing-precast-bulkhead.html

About a $4000 to $5000 job. Precast is the only way to go.