I started this past spring by getting some pre-made blades form
http://www.texasknife.com (a local drive for me) and putting handles on them. The first ones were paracord wraps, then I moved to wood and synthetics.
I then purchased a Grizzly 2x72 belt grinder and some O1 tool steel. I had JMA heat treat do the heat treating, and let IMFCO do the painting. The results were some great steel, excellent heat treating, and a coating that could almost hide how crummy I was. I could have done the whole thing with files, but I wanted to do larger blades, and elbow grease isn't my specialty.
After that, I decided that I wanted to harden my own steel, so I made a one brick forge. I've acquired a DuraCoat starter kit, but haven't painted a blade yet (The last one looked better in it's standard silver color).
All the while, I've experimented with different handle materials from free Hickory and Pecan logs I've been given to stabilized wood, G10, and Micarta. At the same time, I've experimented with blade and handle shapes.
I've sold four knives now, and I'm hoping that I'll continue to do so not for profit, but so that my hobby becomes self sustaining.