How should I micro Roaches against Zealots early game?

A Roach will be killed by a single Zealot when they both have no upgrades.

Correct, 4 zealots VS 4 roaches will leave you with 3 zealots, without micro.

I still prefer Roaches over Zerglings to handle early Zealot pressure.

Correct, Roaches are tended to be defensive units while Zealots are aggressive/scouting units.

I was wondering what's the most efficient way to micro the roaches against zealots?

Whenever they attack, the zealot will catch up and land a hit.

First of all, Roaches do move faster than Zealots on creep allowing you to effectively kite them. Stutter step is indeed the way to go, you can move the damaged roaches to the back if you have what it takes to micro them. However, if you can manage to refine your build order instead or be better macro-wise, then the micro won't pay off as much as the macro. Getting an extra roach can make the difference.

When you have excess energy (or planned a second Queen to defend the ramp early on), you can spread creep so you have a larger area defended. This will eventually allow you to move between your expansion and your base faster at will. Later in the game, if you plan to be aggressive with your roaches, roach speed is a necessity.

Also, as you are defending, Spine Crawlers can be useful to have if you have excess minerals.

Do I need to practice my stutter step, or would it be better to run individual roaches away (the ones that are being attacked by a zealot) while others fire at the zealot(s)?

Start of with practicing the stutter step, it's less micro-intensive than having to accurately move the damaged roach out of them. Once you get better, you can opt for a combination of the two.

So, a summary:

1. Make the best out of your build, have that extra edge macro-wise.

2. Defend on creep, so you have more speed.

3. Add additional queens or spine crawlers, when you have excess minerals from your build.

4. Stutter step, improving later towards splitting and saving individual units. But, macro first...

This will depend on how many roaches there are vs how many zealots there are.

In big numbers (say, more than 8 v 8) stutterstep is what you should do, because if the protoss A-moves, it will be really hard to single-move 4-8 roaches. In smaller size battles, individually microing units might be the best.

Stutterstep should generally be the best though, as the attack speed of a zealot is more than that of a roach, so you will decrease damage taken by stutter stepping, keeping your roaches alive longer.

tl;dr: Stutterstep unless army sizes are low.