The other thing to remember with a steep turn is that it teaches you the correct technique to get out of a spiral dive.
Go back to your steep turn lessons and try to remember what the instructor said when you were losing height throughout the turn. What he should have told you is to simply roll out of the turn a bit (to 20-30 degrees bank angle or so), then pitch up, then roll in again. Why? Because when you're at bank angles of 45 degrees or more, pitching "up" with the yoke will to a large extent only serve to increase the turn rate.
Same with the spiral dive. You are in a steeply banked turn because your attention lapsed for a few seconds, losing altitude fast. If you pull, you're just increasing the turn rate and the g loading, and you are already above Va so you might even damage the airplane. So FIRST roll out of the turn to the level attitude, then SECOND carefully pull out of the dive. (Most likely speed is increasing to Vno or even Vne and engine is nearing redline, so you also need to close the throttle.)
That same automatic recovery (roll out then pull) is what you should apply in a steep turn (45 degrees bank) if you start to lose height - although if you're quickly enough to catch your descend you don't have to close the throttle in this case.