With the normal hero it's not so easy, but you can use a charset which has 3 versions of the hero graphic, one for each step (left, middle, right), but in each of them the corresponding step frame should be used in all 3 places. Not sure how to explain this correctly.
Then you can just use a parallel process event which cycles the hero through the three charsets.
If you only need this feature temporarily, e.g. during a cut scene, consider hiding the hero and showing a normal event with the hero's charset instead.