Start with watching the videos on the documentation pages, they show you all the basic concepts.
However - Option 1
Page one, when user clicks next, the workflow creates the new object and saves it in the database, the object is then passed to page 2, where the user can then save the next set of data to the same ‘thing’.
The datatype would have all the fields required by page 1 and page 2.
Option 2
You create a Single Page Application (SPA) where each ‘page’ is actually a group on the 1 page, and each group is hidden or shown to represent the ‘page 1’ and ‘page 2’. when the user is finished on Page 2 (group 2), the object is created in the database with all the data contained on the two groups input fields.