It's be fine cutting it prior to annealing. I'm not sure how one would go about easily annealing an long bar without a long enough heat treat oven, it will be easily is short sections to get the heat more even in your forge Also, make sure the extra hardness you felt when filing into the other bar isn't just front the mill scale on the surface. Scale is pretty hard stuff, but once you get below it, you should be able to tell if the actual steel will file more easily or not.
If you do need to anneal it, I'd personally just do some quick and "dirty" sub-critical annealing cycles by bringing the pieces up to about 1250-1300F, which is a about a cherry-red color in a dark/shaded area (i.e not under the sunlight or shop lights), and then let it cool to a black heat, which is when it completely loses all of it's color in the shade is is about 900F, and then repeat this a few times. It should be soft enough to saw and file after doing this.
~Paul
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