How do step-up transformers work?
I think what you're missing is the current...


Step down transformers change a high voltage/low current, to low voltage/high current.
Step up transformers change a low voltage/high current, to high voltage/low current.


So, in an ideal 100% efficient transformer, the power doesn't change and no heat will be generated by the transformer, i.e. the power in = the power out, because Power = Volts x Amps.