I have very rarely seen a traditional pocketknife that was ready to whittle right out of the box. You do need to flatten out that edge.
Hold the blade at about a 10 degree angle on the stone. Work it until a burr (wire edge) is raised on the side opposite to the stone. It is absolutely essential that you get this burr all along the entire edge. Not just one or two spots. I repeat - do not quit. Then turn the blade over and do the same on the other side - again until the burr forms. Do not "cheat" on this unless you really don't want it sharp. Then come back to the first side, and give it a few light strokes, at that 10 degree angle, which will push the burr over, then back to the other side. Do this several times taking care to not touch the blade to the stone at any angle steeper than the 10 degrees until you can't feel a burr on either side of the edge.
Now you need a strop. Simple way is to glue some denim, as in a piece of those old blue jeans that should have been tossed long ago, to a flat stick. 2x10 inches will do, but exact size is unimportant. Put some green or white buffing compound on the denim (available at that discount tool store). Don't bother trying to use red jeweler's rouge - it is designed for soft metals, not steel. Now with fair pressure drag the edge, fanatically maintaining the 10 degree angle during the entire stroke. Do NOT flip the knife at the end of the stroke and come back the other way. If you do, you will start to anticipate that flip, and change the angle to almost 90 degrees and destroy all your good work on the stone! (I have seen this done many times). Just carefully and slowly enough to see what you are doing stroke that blade with fair pressure, about 100 times. Seriously. Then turn the blade over and do 100 on the other side. Take extreme care to not run off the end of the strop, and to NOT give a little flourish or flip at the end of each (or any) stroke.
When you get done with this procedure, you will have a knife that you can whittle with. When the edge needs a touch up, just give it 10 to 20 strokes per side on the strop and the edge will come right back. When you find that you need to re strop every 5 min., its time to use the stone again.
There are great books out there that can help you learn to whittle, and sharpen too. One recently came out: Classic Whittling is the title.