If the steel is from an old knife blade, then no. Just go slow when cutting and grinding to keep it cool. If it's too hot to hold in your bare hand, then you risk ruining the temper.
If the steel is in bar stock, then yup, you have to heat treat it. Depending on what the steel is, you might be able to do it at home with a torch, but most of the good stainless steels need really hot temperatures (very specific temperatures actually) to harden and temper correctly. Most guys who work with stainless use a digitally controlled furnace to do all the heat treating.
Do you know what the steel is? If it's a 440 series stainless you might be able to get away with doing it at home. If it's a 300 series, well, it has great abrasion resistance, but is next to worthless for blades (makes a great stockpot though
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