Years ago, I had an extended conversation (over the course of many months) with someone who thought they wanted to do the most good. At first, they were persuaded by One Step's reasoning. But then they argued there were more fish. Then that there were more insects. Then that there were more future lives.
Eventually, this person gave their money to support Christian missionaries. They argued that since the payoff of saving a soul was infinite, no matter how unlikely it was that the Christian missionary was right, and no matter how much actual harm missionaries do in this world, the expected value of their donation was still infinite. (And they chose Christianity because it was the most popular religion, making it more likely to be "right.")
From my perspective, a significant number of utilitarians follow a similar line of reasoning, but I no longer believe this is sound. But it took experiencing a lot of agony to get over the alure of abstract math in favor of concrete reality.