Heat treatment (HT) is fundamental to produce a decent knife if the steel you start out with is soft.
However you can go around it in a couple of ways. Yet you will have to put in more work and/or change your perceptions of how you want the knife to look.
BOTH options need a grinder or linisher as you will be there forever if not.
Option one: - use High Speed Steel (HSS)
This is the steel often used in hacksaw blades - though they are often bi-metal which is pretty useless to you.
If you find a large hacksaw blade - ie 2mm thickness and about an inch wide - you can grind a blade from it with little difficulty.
This type of steel can be taken to quite high temperatures before it affects the tempering of the steel. Hence it is easy to grind a blade.
Option two:
Use an old file and simply temper it in the oven.
Tempering is the process normal conducted after heat treatment which heats the blade to relax the steel and thus soften it slightly. Making it softer thus tougher.
By tempering the file first you make it easier to work with, and so you can grind out a blade with relative ease.
The knife maker Michael Morris uses this method.
Both methods - particularly option two require you to keep the steel cool. If you get it too hot - you make the steel too soft and it won't take a sharp edge.
This is simply a case of grinding for a few seconds (bare hands so it isn't hot to the touch) and then dipping it in cold water. This will keep the steel cool enough to work with.
The other option is to use an old knife - as Samon suggests - but beware, it may be too soft if you can work it with hand files.
All the best
Andy