Effective sensor scheduling requires the consideration of long-term effects and thus optimization over long time horizons. Determining the optimal sensor schedule, however, is equivalent to solving a binary integer program, which is computationally demanding for long time horizons and many sensors. For linear Gaussian systems, two efficient multi-step sensor scheduling approaches are proposed in this paper. The first approach determines approximate but close to optimal sensor schedules via convex optimization. The second approach combines convex optimization with a \BB search for efficiently determining the optimal sensor schedule.