How can I finish the concrete block wall along my basement steps with drywall?
Does the wall sweat or leak ? 

If not then I would affix  finish grade 1/2" plywood with adhesive.

It would be less messy to get off then dry wall if you had to and it would allow you hang photo or art with small screws.

You could mount it directly to the blocks or you could put very thin 1/4" slats as furring strip on with construction adhesive ( better i think ) and then attach it ( or drywall ) to the furring strips.

You could even do 2'x2' squares and stain/paint each one with its own shade/color. 

Just saying,  outside the box thinking.

P.S. this could also apply to your other question about the concrete ceiling.