Steel from Lowes or Home depot is also called mild steel. it has a very small amount of carbon, and so it can not harden much at all when heated and quenched. However, there are other steels with more carbon that will harden when heated and quenched. These are the steels that knives are made out of. If you make a knife out of mild steel, it will be good practice, but I will say, from personal experience, especially if you are going the filing route, that you will begin to grow tired of a knife that will be no more than a wall hanger if it ever gets finished. Make your first one out of good steel. It might not be pretty or what you wanted, but it will be your first. That is an incredible thing.
As far as cost goes, you can get a 48 inch bar of 1084 from NJSteelBaron.com for about 20 bucks shipped. He supplies many knifemakers and will take good care of you. You can heat treat it yourself. It is dead simple, but I am sure there are others that can explain it better. make a little knife, get a little propane torch, heat up the edge, and then quench in $2.50 of canola oil in pretty much any metal container deep enough to quench the knife in. It is easy, and you will have a perfectly serviceable knife afterwards.
Have fun with the process. Trying to make yourself do it will make it a job. Slow down, enjoy seeing the knife progress through the steps, and then marvel at the cool thing you made when you are done. Mild steel will give the same result, but it is about the same cost and will be worthless as a knife.
