+1 on getting an angle grinder, or a bandsaw if you can afford one. I'm using a hacksaw now but a grinder like PS mentioned is what I'm getting next. They can be found for $20, I saw the thin cutting wheels he's talking about at HF, I think they were 4 for $5. I also read on here somewhere that a high-tension hacksaw works much better than a regular hardware-store one like mine for not much more money, that makes sense too.
I use my Dremel quite a bit but not for major shaping or cutting. The other guys are right, Dremels are sweet for cutting pins and getting into small areas, radiusing tang/handle junctions, making choil notches, shaping brass, etc. I also agree you want higher RPMs, as scottickes said. But even cutting mild steel, you'll go thru discs like crazy. I've done it, and you can just watch the disc get smaller and smaller REAL quick

Throws a lot of nasty alum-oxide (?) dust as the wheel wears away, too.
You probably already know this, but I'll say it anyhow... the best accessory for cutting, no matter how you do it, is a solid vise.