Traditionally, a stepping stone is any piece of stone that is laid out as a path or a walkway. The term stepping stones has come to encompass any material, not just stone.
If you make your own, keep in mind that concrete is quite heavy, but you can help yourself out and by using a wheelbarrow.
Time is a consideration when deciding if you should make and install or just install your own stepping path.
When making your own stepping stones or pavers, the material you will want to use is concrete.