The step expression is only evaluated once and it is an increment, so that approach won't work. Here's another approach.
LET vActualMonth = Num(MonthStart(Today()));
LET vInitMonth = Num(MonthStart(AddMonths(vActualMonth, -2)));
FOR i = 0 to 2
LET vLoopMonth = AddMonths($(vInitMonth), $(i));
// Do something with vLoopMonth