If you REALLY want to, the easiest way to use pre-hardened, pre-tempered steel is to use files as your barstock. BEWARE, the "steel snobs" may jump on me for recommending this, not because they're mean, but because they will rightfully say, "in the long run you're much better off starting with annealed barstock and having an experienced heat-treater take care of it for you." This is true. Not snobbery, simply a fact.
However, if you have no HT experience (like me!), you can do the following and it will get you a pretty good blade.
Take a GOOD QUALITY, AMERICAN MADE file... I've had good success with both Nicholson and Simmonds brands... they seem to be very consistent in the steel they use. Imported junk... who knows what's in there? Choose a file that's close to the finished size you need, no sense spending extra time at the grinder to remove a lot of (HARD) steel. These will be high-carbon steel, with potential to make very nice blades.
But they are way to hard to grind easily, and would be just too brittle for a using knife if you ground them out as-is.
Take off the handle if there is one, and throw it in your pre-heated kitchen oven at about 375 degrees, for at least an hour. This will bring the hardness down a bit, close to what a good knife should be. (remember, files are harder than knife blades so they can cut tough steel). Now the steel is softened just a bit, and if you ground part of it smooth before re-tempering, you will see it took on a nice bronze color.
At this point, the steel is machineable, but will be difficult. Remember, it's as hard or harder than a finished blade. Using a good belt-grinder will be an exercise in patience and restraint; using files and sandpaper will make you a candidate for sainthood.
Now start grinding your blade out of the re-tempered file. If you go too fast and the steel turns purple or blue, you've over-heated it and it will be too soft to hold an edge. Grind slowly and dip the blade in water OFTEN. Do not wear gloves while grinding; your fingertips will be your temp-gauge. When the steel gets to feeling warm in your hands, COOL IT in water. Dip often. Trust me, you will be really mad if you go too fast and ruin the temper...
This will take a long time (compared to annealed steel of the same type), even with a good belt-grinder, because the steel is already quite hard and you have to go slow to avoid messing it up. When you are done with the blade shape etc, sharpen it up and test the edge with a brass rod. If the edge won't flex, or chips out, re-temper again at a slightly higher setting, perhaps at 400. Keep in mind that your kitchen oven isn't designed for precision, so start at LOW temps and work your way up if you need to. If you start at too high a temp, you'll temper it too soft and have to start all over by annealing, re-hardening, and re-tempering again, which of course is what you wanted to avoid in the first place.
Now you have a nice blade with a decent HT and temper, you only have to attach a handle. Well, if you ground out a narrow-tang style, all you need to do is thread the end, put on a block of wood, epoxy it up and hold it all together with a tang nut. You could "spot-anneal" the tang for toughness with a torch if strength is a big concern (longer blades, mostly). If you want a full-tang style, you'll need to either spot-anneal the tang where you want to drill for pins/rivets, or invest in a solid carbide bit to drill through the hardened steel. Neither of which is all that much fun, actually... it's kind of a jerry-rigged way to make a knife. But it can and does work, lots of us have made knives this way.
Want to work with air-hardening tool steels or stainless? Don't even mess with pre-hardened steel, it will drive you batty.
If you want to make one or two knives for yourself, this can be a cost-effective way to go, although the $ you save will quickly be eaten up by the time you spend grinding. If you want to make a handful or more of knives, please follow the advice of the others here and start with annealed bar-stock of your choosing.
(signed) Proud owner of several "old-file" knives and currently using only known, factory-fresh annealed tool steel, JT