Ok, so I have been reading about markdown here on SO and elsewhere and the steps between user-input and the db are usually given as
Well certainly removing/escaping all tags would make a markup language more secure. However the whole point of Markdown is that it allows users to include arbitrary HTML tags as well as its own forms of markup(*). When you are allowing HTML, you have to clean/whitelist the output anyway, so you might as well do it after the markdown conversion to catch everything.
*: It's a design decision I don't agree with at all, and one that I think has not proven useful at SO, but it is a design decision and not a bug.
Incidentally, step 3 should be ‘output to page’; this normally takes place at the output stage, with the database containing the raw submitted text.