If you are a stock remover and want to thermal cycle, do it while it is still a bar of steel.
If you forge, thermal cycle after you forge, before you clean up to shape.
Don't clean the decarb off in between cycles... you'll do that as you pre-grind before final heat treat. If you have done significant grinding or suspect that you over heated certain areas while working, run a stress relieving cycle prior to final heat treat. Heat the blade to 1200F-1300F and let cool. Check for any warping.
Like Stu mentioned, some folks like to throw a quench in the mix while thermal cycling. Here is my typical routine...
-Forge
-Heat to 1650F-1700F, cool back down to magnetic
-Heat to 1500F-1550F, cool back down to magnetic
-Heat to 1475F, oil quench
-Heat to dull red(still magnetic) 2-3 times, cool to black, quench
Once the piece becomes magnetic it has formed another structure and is ready for the next cycle. The last dull red heats are what I call a "redneck spheroidize". It is a sort of subcritical anneal or what I also call an "extreme tempering". The smart guys will know what the proper terminology is... I just know it works for me, so until I find a better way, within my means, I'm sticking to it.
I don't like using ash/vermiculite/perlite to slow cool from solution. I think that has to do with the formation of coarse pearlite and in the case of hypereutectoid(+.90% carbon content) much worse things can happen.