Is it possible to delete only one step in the middle of history (keeping all steps after it) without juggling with multiple files?
Despite the answers here saying otherwise, yes you can delete one step in your history.
You do this by selecting the fly-out menu button in the history panel then doing
History Options > Allow Non-linear History. Then you can delete any step in your history without it deleting any subsequents steps after it.
It's a real shame this answer has over 6k views stating you can't do this.