I agree that using a scope for looking for missed steps is probably not the best way to go, but a scope can be invaluable for troubleshooting and building circuits. Look at it like a 2 axis display. The vertical axis shows voltage and horizontal axis shows time. Connect your probe ground to the DB25 ground and the probe tip to the pin yo want to measure. When Mach is sending pulses, you can very accurately see the pin voltage and timing. You can set the scale to zoom in and out. If you have a multi-channel scope, you can connect to the direction and step pins and see the relationship and timing between the two.
When looking for a scope, don't go cheap. The better the scope the easier it will be to use. Get at least 20MHZ and make sure it is a digital storage scope. Most of the decent scopes will trigger on a falling or rising edge. This is important for capturing serial input. Without the ability to edge trigger, you would never be able to see or capture the serial data coming in. The better scopes will also automatically detect probe attenuation (1X, 10X, etc.).
You can buy a good scope these days for around $500. It is an instrument that comes with a learning curve, but don't let that discourage you.