When you select "Next" from the 'Specify:' option at the bottom right of the Script Step Options section, the 'Exit after last' check box will appear on the right, just under the heading for Script Step Options. Tick this and your good to go.
I hope this helps
In previous versions of FM such as FM6. It was written that way with the Exit after last, Next
After version 7 though, it was changes to be Next, Exit after last. (This makes more sense to me)
Therefore, it is the same thing.