First it depends which kernel version you're compiling. For 2.4 it's different than in 2.6 (more things are automatic).
make mrproper (seems like you only have to do this once, ever) - I never do it and it still works
Copy the .config file from /boot/config-xxx to your source dircetory - OK
make oldconfig (seems like you only do this if you did above step) - nope. It's one of the veriants: oldconfig, xconfig and so on
make xconfig, gconfig, menuconfig take your pick
make dep (unnecessary in 2.6 kernel) - correct
make clean - if you have just unpacked your kernel, you don't need it. Use if you'd like to clean your previous compilation.
make - Yes, in 2.6 it's equal to make bzImage in 2.4, but don't use in 2.4
make bzImage - In 2.4, instaead of make
make modules - In 2.6 it's a part of 'make' if I remember correctly
make modules_install - Yes
make install - Be careful. It overwrites your current kernel. Use ONLY when you're sure your new compilation will work. If you're not sure, copy the kernel manually and add to bootloader menu, so you're able to boot both versions.