You need to account for two layers of mud, one for the preslope, then the liner, and then the setting bed. The bottom one can taper to nearly nothing at the drain over the concrete. You probably want the top layer to be at least 1" thick all across since it can't bond to the concrete and would be floating on the liner.
I think a step down would end up being dangerous, as it could be wet.
You could get by with a single, sloped mudbed if you used a sheet membrane like Kerdi from www.schluter.com.
Check out www.johnbridge.com for help in building the shower.
You will want a liner, and it is easier to make the depression flat, then build the slope with your mudbed.