It is not only OK, it is preferrable. My rule of thumb is that if a doc hasn't figured out what is wrong with my by the third month (assuming testing, observation have been conducted and a treatment plan have been offered - in your case a steroid pack), then I have given him a fair shot at treating me.
You have given him 4 months and you are on your second steroid pack. If your tests do NOT show anything but he says you have all the symptoms of MS, it is time to get a second opinion - but not to anyone HE refers you to.
Call a local university hospital (a teaching hospital) and ask who the head of neurology is and if he has partners in his office. Next, call and ask if anyone in the partnership is taking new patients (the biggest barrier to getting an appointment) and schedule an appointment with him/her. Even if you don't get to see the head of neurology, you will see someone in his office and most partners consult each other about cases.
Check with your insurance company and make sure they pay for second opinions and get appropriate referrals/paperwork in order. Schedule the appointment and bring test results with you (ask present doc for copies - you should keep them for your records anyway). If you have any films, get copies to take with you. Write down your list of questions.
Ask new doc to schedule a 64 slice MRI (the newest version as of 2008) of brain, cervical, thoracic with and without contrast injection. It may be best to schedule brain at one time (20-40 mins), then cervical (45 mins) and then thoracic (45 mins) otherwise you will be in the MRI for two to three hours. Most facilities cannot block out that much time for one patient, so break it up.
You can tell the new doc that he is a second opinion, but he has a chance of becoming your new doctor if his treatment plan is to your liking. No need to tell the last doc he is on his way out or you won't be coming back or anything. IF you like the new doc, schedule 2nd and 3rd appointments and see if your think your treatment is pro-active and to your liking.
Good luck and check back often,