Although he is not counting his chickens - he fully expects, and wants, another keeper to come to Upton Park soon - he is quite comfortable about the possibility of playing at Bramall Lane at the weekend.
That was certainly not something he could have expected earlier in the week, but when told of David's imminent departure on Tuesday early evening, his reaction was:
"Is he? When was that? It's good for him."
And it could be for you as well, Steve.
"It could be...
"If that is right then I am chuffed for him; if he wants to go and play for another club, that is okay.
"I had no inkling; he was training as normal today and doing some stuff with Russell Holman, one of the fitness coaches - he was like his normal self, not like he was going away or doing anything."
Steve has had the benefit of working with David since the latter's arrival from Aston Villa as Glenn Roeder's first signing, and he says:
"He is a good goalkeeper and good to work with; I have learnt to be confident in my ability from him and just to be focused, really."
As for what happens next, Steve accepts that with him having played just five times for the club - including a blinding performance at Highbury - another keeper arriving at the club is inevitable.
The only other full time custodian at the club is David Forde, who has not played for the first team at all and whose first reserve team appearances have been restricted by Steve this year and also former stopper Raimond van der Gouw last season.
"Without doubt you have to have more than two or three goalkeepers so we will just see what happens and I will keep going and keep training," he promises.
"I have been working hard, to be honest, and every goalkeeper has to be prepared for the unexpected - that is your job.
"Even on a Saturday sitting on the bench you have to be ready and I have been ready all season waiting for my chance.
"But Jamo has been playing well and he is England's number one, so you just have to keep your head down in the reserves."
And does he remember when he last played for the first team?
"I don't know."
After a little prompting, the laid-back and thoroughly likeable Steve says:
"Yeah, Bradford, that was it."
Which is ironically, the opposition against whom it all began when, in the Premiership days, he came on for the injured Shaka Hislop after a couple of minutes - and left the field white as a sheet later that afternoon following a 5-4 win after West Ham had been 4-1 down!
So will he be nervous if he plays at Sheffield on Saturday?
"Not a chance, no; you have got to do well for the lads because we want to get promoted - there is no point being nervous," he says firmly.
"You can't hesitate - you have to do your best and I am more confident now in my ability to do well for the team, the lads, and myself."
As for life under Alan, the England U21 keeper says:
"He is honest with you and straight up; if you let a goal in you shouldn't or if you are having a beast he will let you know - he just tells you what is happening and that is good.
"But Ludo is the main man to talk to me about my game because I am a goalkeeper and it is his job to tell me what to do."
Will he miss having Jamo around?
"I will have to beat someone else at two-touch now; I am fed up of beating Jamo so there will have to be another whipping boy!" he smiles.
He would, though, like to follow in his footsteps to become England's number one and he says:
"Everyone in my position as a goalkeeper wants to play for their country so I will just have to focus and play well.
"Whatever happens, happens; I think it is fate, really, it is meant to be.
"If you keep playing well you end up playing for your country."
And he is looking forward to seeing who Alan will bring in.
"No doubt someone will come in and even though it is one position it is good to have competition - it is healthy," he says.
"It keeps you alive and on your toes but I want regular first team football though I am just happy to play games - because that is what it is about."
Steve has had two long lay-offs in his short career with schapoid injuries and explains:
"When you have injuries you look at football differently and you realise that when you are not injured you are lucky to be playing.
"You just have to enjoy it - when you enjoy it more you become more confident and you play better, that is the way I look at it.
"It is ages since I last played in the first team and my attitude has changed towards training and playing - and I am a better player and person for it."
David Seaman, who claims he recomended David James to Kevin Keegan, has retired earlier than planned and Steve says:
"Has he? I didn't really know him but he was a good keeper at Arsenal; at 40, I suppose he has had his time and wants to relax."
Steve could find himself up against a club for whom he has been on loan later in
the month after Wolves beat Kidderminster in the FA cup third round replay on