@Deusovi has already provided an excellent answer to this question, emphasising that you should (i) indicate arbitrary decisions, and (ii) rule out incorrect paths. I agree entirely with both of these but would like to add two more helpful suggestions - a couple of things which often help when trying to navigate through a multi-step enigmatic puzzle:
(iii) Leave breadcrumbs that show the solver they are definitely on the right path
One of the puzzle types I find most frustrating to solve is what I would call a 'multiple encryption' puzzle - when a puzzle setter says, "Here's something I've encrypted. To make it harder I encrypted it five times with five different methods - can you work out what they are?!" To which my answer usually is, "No I can't, and I don't really want to try because it isn't going to be any fun at all..."
However, a setter can make a 'multiple encryption' puzzle much more fun by making sure at each completed step of the decryption process there is a little hint that shows the solver they're on the right track - e.g. once the user worked out they were supposed to use rot-13 on the first ciphertext, although most of it appears to be nonsensical the first few letters of the new ciphertext is "VIG", at least giving the solver a fair chance by suggesting that what follows after this might be a Vigenère cipher.
In my experience, breadcrumbs (clues) like this have exactly the same effect in a multi-step enigmatic puzzle: they give you little moments of confidence that the last thing you did was correct, allowing you to focus on what comes next.
To use one of my own recent enigmatic puzzles as an example (please excuse this moment of vanity - I do not intend this as self-publicity, just that I find an example which I fully understand might be most helpful in explaining this point to you...), this mechanism is employed throughout "Which country did my sister visit?" (WARNING: SPOILERS INCOMING!)
All the information needed to solve this particular puzzle is present in the diagram provided in the puzzle (see the link), and there are small prompts throughout the solving process to tell a solver that they are on the right track with their solution:
Breadcrumb 1:
Firstly, all of the names listed in the seating diagram are those of international airports, either directly (using the name of the person they are named after) or indirectly (breaking down a geographical name into something which sounds like a name). Once a solver noticed that one or two were international airport names - either through recognition of some of the more 'obvious ones' (George Best, Marco Polo, ...) depending on exactly where they live in the world, or using a search engine to check up on a few - they would begin to realise that every name in the diagram shared this property. There's your hook - immediately, you're on the solution path, and you know it.
Breadcrumb 2:
The next part involved a little knowledge and a little deduction/guesswork. Notably it relied on the solver realising that all airports have a 3-character IATA abbreviation. Knowing that If the solver translated each name into its associated code, and looked at the resulting grid, they might hopefully spot a couple of letter sequences they recognise as real (and related) words:
A N M N A S P E W
C E W T L V T S R
H T V S J U O S R
G E O P A N A M A
D T I B H D P V D
M L L E B A N O N
E S L U N A O P S
F N G O U A P V E
B I K O T P P S O
I H R M W C C U C
L I M T I U N E U
J C K V C E W D H
K E B S O L D G F
Try and spot them yourself before you check the next spoiler! Can you see them? The two hidden words are:
country names - PANAMA in row 4 and LEBANON in row 6. Surely a benevolent puzzle setter has deliberately included these - it would be too big a coincidence to find both of these words present by accident, surely...? And after all, the whole theme of this puzzle is that we are trying to identify a particular country - this must be the right track...
But now the puzzler is thinking, "Okay, I've found two country names - what do I need to do next?" Maybe they think they need to find more country names hidden in the grid - but try as they might these remain the only 2 they can find, until they spot breadcrumb 3...
Breadcrumb 3:
At this point many regular puzzlers might start to think, "Right, perhaps I need to do something to this grid before I can find more countries..." They might consider some kind of cipher - but then PANAMA and LEBANON were spelled out without any encryption, so rule that idea out... Maybe they need to rearrange the grid in some way to make it more easily readable... and that's when they spot the breadcrumb...
Every row in this puzzle begins with a different letter of the alphabet (A-M)! Perhaps then we need to rearrange the rows in alphabetical order! And sure enough, when we do so, we get the following grid, in which three more country names can be found:
A N M N A S P E W
B I K O T P P S O
C E W T L V T S R
D T I B H D P V D
E S L U N A O P S
F N G O U A P V E
G E O P A N A M A
H T V S J U O S R
I H R M W C C U C
J C K V C E W D H
K E B S O L D G F
L I M T I U N E U
M L L E B A N O N
Can you see them?
LIECHTENSTEIN can be seen going up column 2, MOLDOVA goes diagonally down to the right from the top row, and SWEDEN goes diagonally down to the bottom right corner.
But how does this help us to identify just one country for the final answer?
Breadcrumb 4:
Consider the shape that these words make in the puzzle - this is particularly distinctive. And a geography buff who has made it to this point of the puzzle would hopefully notice that this shape is uniquely the shape of the flag of NEPAL! But is there a way to confirm that this is our final answer?
Well, the flag of Nepal contains two symbols: a crescent moon in the top triangle and a sun in the bottom triangle. Look closer at the grid and you might spot the words LUNA and SOL in these positions - and these words are Spanish for 'moon' and 'sun'! This breadcrumb acts as the final confirmation that the answer has been found, and the solve can rest happy in that fact and race to write up their results!
Breadcrumbs 5, 6, 7, 8 and 9:
But hang on a moment, because maybe a puzzler might not make the necessary connections between each step here - after all, I'm the OP, so I understand the process because I devised it... but would somebody else, coming in blind? Let's make sure and scatter some breadcrumbs to lead the solver to the other breadcrumbs!! This is the purpose of the second part of the puzzle - the note from 'my sister'...
5. I got to know all of my passengers really well - a hint to look up the passengers' names, which would lead to the realisation that they all shared names with airports.
6. I even remembered to take their in-flight meal orders at the right point of the journey - the key word here is orders. If they spot this, the solver will now be primed to think about reordering some component of the puzzle at the right point.
7. We flew through the airspace of five different countries... - at some point in the puzzle we will come across five (other) countries. These are the 5 in the wordsearch.
8. ...(each of which shared the same specific connection with the country of my final destination) - this is an extra clue to help verify the identity of the final country. What do the 5 countries in the wordsearch have in common? They all have exactly two international borders with other countries - this gives us a clue that our final answer also will...
9. and just before we landed I even got time to practise a little of my Spanish (even though they don't speak it there) - here's a little nod to note the two Spanish words hidden in the wordsearch too (LUNA and SOL), and as a bonus an extra clue to the identity of the country: Spanish is not an official language there.
Breadcrumb 10:
There was also a pair of bonus breadcrumbs, much more obscure, and only really noticeable (if at all!) by PSE regulars.
"Cryptic Family Reunion" is one recent puzzle series on PSE by @JeremyDover. As a small homage I concealed two clues in the vein of this series (where a set of cryptic crossword clues have their definition part replaced by the name of a generic family member, thereby concealing the theme of the puzzle). These can be found in the very first line of the puzzle - {My sister} is always talking about pilots - and in the sister's dialogue - In short, I appreciate the attempt, {brother}. Both clue the initials IATA (via 'pilots' and 'in short', implying first letters - possibly a little obliquely), which would help the solver to realise (if they haven't already) that airport codes are involved.
Breadcrumb 11:
Finally, if in any doubt that the solver had found the correct answer, they might notice that:
NEPAL is an anagram of PLANE, which ties in with the whole theme!
So all in all, this puzzle contained eleven hidden breadcrumbs to help guide the user to the answer. It perhaps did not require that many (and indeed, the solver did not use all of them in finding the answer) but in that case any left over at the end become fun little 'Easter eggs' for people to find.
The overall message here though is that what could have been a very difficult and obscure enigmatic puzzle was made much more doable by scattering breadcrumbs throughout it!
Finally (and briefly), one last piece of advice:
(iv) If possible, use other PSE question tags in addition to enigmatic-puzzle to help point out useful features of the puzzle.
Note that in the example I gave above I also provided the geography, acrostic and flags tags. The first of these was perhaps obvious, seeing as we were looking for a country as the solution, but these other two might have proved very helpful to solvers...
The description for acrostic is "A puzzle in which certain letters, e.g. of each word, line, or paragraph, form a meaningful word or words when put together." This was used to emphasise the first letters of each line of the wordsearch grid and prompt the solver to spot the pattern amongst them.
Meanwhile, the use of flags would have remained in the back of the solver's mind throughout, and would have proved useful right at the end of the puzzle by noting it had not yet been used. This tag was, of course, pretty crucial to finding the final answer!
Take-home message:
Breadcrumbs and tags are useful tools for any creator of enigmatic puzzles. They enable you to hide confirmatory clues to your solvers to help them realise they are on the correct path, keep them moving forward, and - most importantly - keep making it fun! Those little moments of recognition that things are moving in the right direction can give a solver quite the adrenaline buzz - and as a puzzle setter, bringing those moments to your solvers is really your ultimate goal...