Quantum dots are fabricated in a Ga[Al]As heterostructure by local oxidation with an atomic force microscope. This technique, in combination with top gate voltages, allows us to generate small lateral depletion lengths. The confinement is characterized by low-temperature magnetotransport measurements, from which the dots energy spectrum is reconstructed. We find that in small dots the addition spectrum can qualitatively be described within a Fock-Darwin model. For a quantitative analysis, however, a steep-wall confinement has to he considered. In large dots with small lateral depletion length, our measurements indicate that the density of states within Landau level 2 inside the dot is larger than that within Landau level 1, an effect that we interpret in terms of steep walls. Furthermore, we demonstrate that our interpretation is consistent within the charge-density model. The maximum wall steepness achieved is of the order of 0.4 meV/nm.