Snippet to detect an order status change.

commerce_order_status_change.php

<?php

/**
 * Implements hook_commerce_order_update().
 */
function HOOK_commerce_order_update($order) {
  // Detect a status change.
  if ($order->status != $order->original->status) {
    $status = commerce_order_status_load($order->status);
    $state = commerce_order_state_load($status['state']);
    // Checkout phase starts.
    if (($state['name'] == 'checkout') && ($order->status == $state['default_status'])) {
      dpm("First step in checkout");
    }
  }
}