To answer your question, you can sharpen heads on the arrow with both the KME broadhead Pro and the Knife Sharpener.
Bit more tedious, but I did it with Ron's input on the phone and if this sharpening impaired person can do it...you can.
If...on theother hand, there is not even a bevel started on your broad heads you bought, I'd surely "set the bevel" before mounting them and then do the remaining sharpening to hunting levels after mounted.
Order from Ron and describe your set up and he'll give you advice and then once you have your gear, he'll be there to help w/ any challenges.