I generally profile all my parts, and drill all the holes. Then get a rough fit up on it all and cut the lock (frame locks). After that I go ahead and grind the blade and do any finish work I will want to do before heat treating, which includes filework, rounding edges on steel handles or bolsters and all that good stuff..
Then I heat treat it all and go back and do the final fit up and finish work.
Some folks in here like to grind blades after heat treat, but personally I do as much material removal as possible before heat treat. It goes faster for me and I don't have to worry about ruining the heat treat.
I suppose its possible to do filework after heat treat also, but you'd have to use diamond files and carbide grinding burrs. I think you get a lot better control when the steel is soft and the files have some bite, and it goes a lot faster too.