Flight crew descends below step down fix during LDA approach at ROA. Low altitude alert was issued by Tower.

Narrative

On the LDA Runway 6 into ROA at approximately 1 - 1.5 miles from SKIRT ATC advised us of a low altitude alert. We were at approximately 2;100 FT so First Officer started to correct her altitude and climb as I was checking with ATC the altimeter setting and altitude we were at. As the conversation progressed we realized that the correct altitude was approximately 2;700 FT. While correcting we passed SKIRT and then started to descend to 1;600 FT. At approximately 1;800 FT the runway and airport came into sight. The event occurred because as we were approaching 4;300 FT at RAMKE the GS didn't seem to capture so we started with the stepdowns and instead of setting 2;720 FT into the altitude we set 1;600 FT not recognizing we skipped over the altitude at SKIRT. In order to prevent this again we could do a couple of things differently. 1) If the GS doesn't capture we could ask ATC if they have had any other reports of this to see if it is a reliable source instead of assuming it was inoperative; and 2) Review the chart more than once on an arrival that we aren't very familiar with and 3) Ask each other when was the last time they shot the approach so you know for yourself if you are comfortable with how well you read the chart.