disclaimer - ScreenSteps Developer here
ScreenSteps will do exactly what you are looking for. It isn't free but there is a sale going on this week. Basically, ScreenSteps lets you capture screenshots and then automatically turns those screen shots into a step-by-step guide. It is really focused on task-based documentation.
The whole idea with ScreenSteps is that you setup your documentation to be useful in a support situation. You create "lessons" that answer "How do I" questions, such as "How do I create a new account". It is very fast and lets you export to HTML, PDF, Word, Pages, WordPress, TypePad, MindTouch, Confluence and ScreenSteps Live.
You can see an example of what the content looks like on ScreenSteps Live here:
http://help.screensteps.com
The methods described above of copying into Pages will work fine and are definitely cheaper. ScreenSteps just makes the whole process much easier.
And BTW there is a sale going on this week.