How can I waterproof wall sheathing along concrete steps?
Well, you aren't going to keep all the water out. The builder should've applied a water barrier before pouring the concrete. You'll have to decide whether the sheathing is degraded enough that you need to replace it. Here's what I'd do (after letting everything dry out well):


Procure some flexible waterproof membrane such as ice and water shield or window flashing tape. It should be gummy on the back side so it bonds to itself and seals around fasteners. 
Apply it to the sheathing along the concrete, tight to the joint. Use staples along the top and wherever needed to hold it securely to the sheathing. It should run up the wall at least 6" or whatever space is available.
Caulk the membrane/concrete joint with a high-quality caulk. Silicone is ok. Latex is not. Urethane is better. Create a substantial, coved bead, but try to keep it small enough that it'll be hidden under the j-channel. Use masking tape on the concrete 1/2" away from the sheathing if you like. 
Reinstall your siding.