How can I apply materials to the stairs?

After creating the 3D model change your view to 3D, pick each stair component and explode it.

Only if you explode the component Revit lets you apply a material to it.

In the current version of Revit it is not possible to automate this feature, so, please, be patient.

When you explode a component, Revit can prompt a question about performance, click ok anyway.