To successfully side step do you have to literally side step, or can you move any direction. For instance if an enemy approached you from the north you would have to move either left or right to have a chance to evade the attack correct?
You'll have a chance to dodge (100% on the first shot with dodgemaster) even if you move diagonally in that case. To know where you should side step, picture the trajectory of the enemy attack. Dodge means that the monster attacks the tile where you were standing before you moved, not the one where you are after you move, so if you move out of the attack's trajectory, you can dodge the shot.
Of course, be careful around enemies with area of effect attacks - dodging in a way that still splashes you when the projectile hits a wall behind you is not ideal.