I cut the blank out of the file so far.   Do I have to harden and temper the file or let it be?

Before you cut it out you should have anealed it. Heat it bright red hot and burry it in sand to cool slowly. To heat treat it, heat it to bright red again, quench in 100 deg oil(it doesn't matter what kind of oil, I use old motor oil just watch out for flame ups). Now heat to 400-450 DEG in a toaster oven. Your done, now finish to the desired finish.After you harden the blade you can clean off the scale. If you have any question don't hessitate to pm me.

Mike

NH,  So heat the file and then cool it do your gring and filing to desired shape and blade grind.  Then harden it and then soften it again.  I think I got it.

I dont know if I'd get into the forging mentioned in this link, but the rest is a good read on how to craft a knife from a file blank.  

http://klesinger.com/jbp/mjtool.html

Matt, it's not absolutely necessary to anneal and heat treat.  I have made several knives without doing so.  you may want to try it to see how it works.
It takes more time to shape, but still works fine.  My knives ended up very hard, but they hold an edge very well.  And never had a problem with them being brittle.  Of course, I don't pry or dig holes with my knives either!
Dan

well,  I fired up the BBQ and heated the blade.  It was pretty cool watching the blade change colors.  I guess now i just need to start grinding away at it.  I have made one knife out of stainless steel but the steel wasn't the best for a knife.  So i picked up a file and going to give it a whirl.  wish me luck

OconeeDan,  did you buy the wet grinder?  I found one that I will probably get from harbor freight.  50.00

No, I did not.  After some research, I think I will spend a bit more, looking at a model found at Rockler Woodworking.  
I think the hollow grind would limit use too much.  Plus, only one grit stone can be used on that model.