[UserNameGoesHere]

I am not a lawyer, but my thoughts are as follows.

As long as you provide only materials for which you have appropriate legal permissions to distribute, I'd think it's perfectly legal. If not, probably not.

So, if you made the song, the graphics, and the stepchart? You could distribute them all.
If you made the stepchart and graphics and had written permission from the song artist? You could distribute them all.
If you made the stepchart and graphics, didn't have permission for the song, but didn't include the song nor provide links to questionable downloads? (Linking to the artist's home page is okay/etc...) I think that'd be fine.

Basically just don't include anything for which you don't have legal permission to include. Also don't provide links (even in READMEs) to any but legal means for attaining any other files needed.

I think that should cover your bases.