There’s another way to do this besides using the pitch bend wheel - which is useful if the synth limits pitch bend to less than you need.
The synth you use however must have either its oscillators fully tunable throughout their entire range from a single tuning control, not a synth with oscillators which can only be set in octaves or “feet” and adjustable only by a fine-tuning control across a single octave, or a self-resonant filter.
The way to get the frequency shift is to start with a MIDI note then automate the oscillator frequency control. Or if that isn’t possible but the filter self-resonates use the resonating filter to produce a sound then automate the filter frequency. You might still get some “stepping” if the synth locks everything to 128 MIDI values but this method tends to minimise that.
Yet another way is to use a synth’s glide function. Set the glide rate between notes to give you the length of note you require then play the start note, hold it and then play the final note where you want the pitch shift to end. Obviously this limits how long the pitch glide can be to the maximum allowed by the synth.