Do you need to request a step climb or step descent when flying in controlled airspace, or can you climb at your own discretion if you've entered your climbs in your fligthplan? And if you need to request it, do you Always have to request it, or if you're for example flying oceanic can you at that Point climb/descent at your own discretion?

If you are ifr, you request from atc. Always.

You could ask for a block of altitude from ATC or even a cruise climb.  

I know for the US the dispatcher files the lower altitude.  This is also a safety thing since we cannot make the higher altitude when we are too heavy.  Usually the FMS will tell you when to step climb or you just look at the aircraft weight.  It still must be requested from ATC.