I used 1/8 01-Tool/gauge plate for my pervious 4 knives but for my last one a used an old file and it turned out pretty good but the heat treat can be a bit hit and miss. Pardon me if I get the name wrong but I believe 'leaf springs' off old car/trailers also make good knives but they will need flattening first (hot worked). If you want a go at forging, old railway spikes are apparently quite good to start with.
I would take a look at
http://www.britishblades.com there's loads of usefull information there.
As far as handle making goes I used an angle grinder with a P40 flappy sanding disk on it to start with then work to about P640/P800 with sheets and finish with danish wood oil and canabu wax. As for handle materials if you havn't already got some take a look at youre local timber yard before buying online, I got a massive 4ft x 1 1/2ft x 1 1/2" piece of burr Elm for £20 rather that paying £15 for a tiny piece about 6" long online.
As for High Speed steel I wouldn't recommend annealing it as re-heat treating it would be very difficult. I would try grinding it as it is (cut it to rough shape with a thin disc on a 4" angle grinder or pencil grinder) but don't let it get hot (keep dipping it in water and don't let the surface blue/ discolour) and be careful as it is brittle.