Remove SGMCMC step method

[ricardoV94]

As discussed in #5508

[arihantbansal]

I want to take this up!

[ricardoV94]

I want to take this up!

Sure, go ahead

[michaelosthege]

@arihantbansal I don't see a PR on the issue. As per our contributing guide please don't claim an issue without following up a PR.

The SGMCMC file is causing problems with our mypy pre-commit step and the best solution to that problem is doing the removal (this issue).
Unless you can do it today I will take over, because the pre-commit problem is urgent.