Using "to" after except

The sentence means that people (well, in this case, men) only do what they want to do. Their will is their desire, goal, aspiration, decision."Never take the least step" means the same as the idiomatic "lift a finger" (do the least little thing). "Except to that end" means to only do something towards the objective - the end here is the objective to be achieved.

So to translate:

A man won't do anything, even the smallest thing, unless it is to achieve his objective.

Editing to delve into the main intent of the question, which was to discuss "to" after "except":

You can use "to" after "except" to introduce a verb that will only be done in the exceptional circumstance described. For example: "I will not dive into the sea, except to rescue a drowning child". "I will not drive through a red light, except to move out of the way of an ambulance"

In the sentence in question, "that end" refers to the goal of happiness, mentioned in the first sentence of the quote. "All men seek happiness......The will never takes the least step except to that end." In other words, no one intentionally does anything unless it is with the goal of achieving his own happiness."

You couldn't use "except" here without "to". In this case, "to" is part of the prepositional phrase "to that end". The meaning of this phrase has been explained many times on this site, for example, here. It means something like "for that purpose" (achieving the goal of happiness, in this case).

There's a simple way to look at at least one reason why the "to" is necessary. Try reducing the last part of the sentence to this: "The will never takes a step except that end." This doesn't work because there is nothing connecting "step" or "takes a step" and "that end", which acts like the name of a place here. You need a directional word or phrase that indicates whether the step is toward "that end" or away from it, and "to" is that word.