I use those sorts of saws for nearly all my knives and they are great stuff.
To cut it I use a 4 inch angle grinder and the cutting wheels are the very thin (1 millimeter)cutting wheels designed for cutting stainless steel. It rips through the saws pretty easy and cost less than $2 a pop.
Away from the area of the teeth you will find the steel is a fair bit softer and you can drill it no worries so you don't need to anneal it to work it (unless you cut your bevel with files).
A pic of the saws
And my little cutting grinder
When you are making the knife you don't need to worry too much about how hot it gets. If it goes blue from the grinding it isn't a big deal. When you finish your knife you need to harden it. You need to get it to temp and let it cool in the air once before you heat it again and quench it. This removes the stresses built up when it gets hot during the grinding.
I quench the blades in old cooking oil and I find it does the job very well. Then they go in the oven at around 250C for an hour. Remember to give them a good clean before putting them in your oven, the wife won't understand
This is how they come out
and of course after you temper your knives the oven is already hot for other things
:D