I totally agree with Fiona and can add a little bit more based on the experience I had when my Husband was in a similar situation. Of course each case is different in some ways so this is just my view.
If the steroids are helping to keep you Dad mobile sufficient that he can get out of bed and dress each day then stopping them is completely counter productive. Once mobility is lost it is incredibly difficult to get it back even after a short time.
2mg daily is a relatively low dose anyway so any side effects will take quite some time to manifest. If and when they stop helping then they should be gradually reduced. If your Dad has a limited amount of time that may never be necessary.
If your Dad has Anaemia caused by his bone mets then transfusions will not help overcome fatigue or breathlessness for very long. Each time the period of improvement shortens measurably so maybe the first couple at best. My Husband had one at this stage and then no further ones in his remaining time. They are also a really taxing event for an elderly or frail person. Blood has to be taken every time and cross matched or at least group typed. A cannula has to be fitted and then depending on how many units being given, the patient is hooked up to the drip for anything from 90 mins to 4 or more hours. It can be a very tiring thing all on its own.
If the Anaemia is from chemo or other temporary treatments then that would be a different situation, transfusions can keep the anaemia at bay until the body recovers its own ability to create the necessary blood cells. My Husband had 5 transfusions through chemo all of which helped him from one chemo session to the next.
Quality of life has to be considered here, the medical team should discuss this with your Dad allowing him to make his own decisions and retain as much control as he can, whilst he is able to over the time he has left. My Husband kept that control right up to the end and it was really important to him.
There are several short documents available to download from the internet that might help you, if you google "guidelines for use of steroids in cancer patients"
I hope you are able to have a productive discussion with the medical team and that your Dad has his say also.
My best wishes to you