I thought I'd go through the process, and my favorite thing to make being blades, I'll focus on that this time.
This may sound silly, but before you start, decide just what it is you're going to make. Not just 'a knife', but details: how long a blade, how wide, what shape, what kind of tang and how long? That affects not only the making, but also the choice of steel. What I'd choose for a big, heavy-cutting type of blade isn't what I'd choose for a smaller general-purpose type. It also affects how big a fire you need; you only work a section at a time, until near the end, but a big knife will, obviously, start out with bigger stock and need more heat.
That decided, the steel in hand, light off the forge, let it burn a few minutes to clean out the fire, then put the first section in to heat. While it's heating make sure the tongs are handy(if needed), the hammers you'll need are handy, and any other tools- such as a fuller to narrow the blade at the tang- haven't wandered off to hide..
If you're starting with round bar stock, the first thing you do is flatten it, wide and thick enough to shape the blade. Again, a section at a time; unless you have a really big forge, about 6" is as much as you can heat at this stage. DO NOT hammer the stock too thin; leave it thicker than you need, as you can always thin it a bit more later. And, unless you want to leave hammer marks in the finished piece, you'll want to leave it a bit thick at the end, so you have enough mass to grind away the forge marks.
Ok, you've worked your way down, and have about 12" of the bar flattened out. I'll generally leave it attached to the main bar 'till near the end; holding onto the bar is generally more secure than using tongs. Now you shape the point.
Let's say you're making a bowie-style blade with a straight clip point like this one. You start off by heating the squared-off end and forging it down so that it tapers from the back of the blade to the edge, not the other way around(reason to come). You'll have to hammer the sides to keep the thickness even as you go, and you should wind up with a bar with a straight angle from a few inches back from the end down to the point. It may take several heats, depending on thickness/width/type of steel, just try to get it done with the least number possible. Every time you bring a piece up to red heat, you lose some metal from the hot surface combining with oxygen in the air and forming scale that falls off as you hammer.
Now, if you haven't already, decide how long you intend the blade to be from point to end of cutting edge, and either keep a steel ruler handy or mark it with soapstone or something. And now you can start forging in the bevels, the angles from the back of the blade to the edge.
Start at the point, and this is why you wanted to taper the end from the back down toward the edge. Bring a section up to heat, place it on the anvil face with the edge along one edge of the face, and start hammering. I use a 4lb. hammer with a nicely rounded face for this(not applicable all users, your results may vary), and start from the point and work my way back. This gets tricky because you don't want the hammer to be coming down squarely on the stock, you want it to come down at a bit of an angle, so the strike is thinning the edge and leaving further back thick. This does two things; first, it gives the blade a nice taper from back to edge and second, it stretches the edge further than the rest. This causes the point to curve back up, and with experience you can, by working the edge and the clip section of the back, adjust the shape so the point will be exactly where you want it. It can be amazing how much the point will move as you shape the bevels, in some blades I will shape the point as described above, then hammer it over the horn so it droops down below the edge; that way, when I shape the bevels of some shapes I don't wind up having to hammer the point back down because it's become too high.
Work this side, then put it back into the fire, get it up to heat, and then work the other side of the blade in the same area, preferably with roughly the same number of strokes(it helps keep things even). Then turn it edge up and look at it closely. The edge should be centered along the length you've worked so far; if it's not, even it up now. This works much better than doing the whole length and then trying to straighten it all- especially on long blades. Trust me.
When this is all as you want it- smooth taper from back to edge, point where you want it, move back to the next section, heat it and hammer. Two things to remember here: first, in a long blade you may have to give much of the blade a downward curve before you start hammering the bevels in, with a long blade it can be amazing how much the blade will curve up as you shape the bevels; second, remember to leave it thicker than you want the finished piece to be. Not only do you want to be able(generally speaking) to have enough stock to grind & polish out the forge marks, but by leaving it a bit thick, the finish grinding after heat treating will remove the surface steel that lost carbon to the fire. So work your way back to the point where the edge will end, and at that point you'll need to shape the ricasso- the area where the blade body meets the tang- and the tang. That'll be part two.