Does this seem sensible?
... the forward biased zener will add a .7v drop to forward voltage... in essence leaving you to shunt excess voltage that must first reach a potential of 7.5V before shunting occurs... which already exceeds maximum pin parameters.
Have you measured the resistance of a stepper winding? If it's less than 80 ohms then you really should use a driver.
Ooh, can we see picture or link to these tiny steppers?
Using Schottkys in the configuration you suggested would protect against voltages over 5.33v (assuming BAT-43s with a .33v drop), which is only half a volt-ish more protection than the zeners but with double the component count - is this enough of a reason to use your 8-diode method over my 4 zeners? Is there another reason not to use zeners?
If I was connecting anything else coil-based (like a relay) to an Arduino, I'd stick a diode across the coil facing the other way, so when the coil's power goes off and the magnetic field collapses, any voltage it generates can dissipate through the diode rather than zapping my Arduino. That approach won't work with my stepper, as the voltage across the coil could be in either direction depending on which step the motor's at.