As mentioned, much depends on the steel.
Basic guidelines here..
Heat to critical (non magnetic) and let cool slowly to anneal. This can be done by simply turning off the forge and checking back the next day, burying in sand or what most do, put in vermiculite to cool very slowly.
If you are forging, you will just heat and beat and forego the annealing. If you are shaping with files or such, then yes, anneal.
If you are forging, you will want to heat to critical again and slowly cool to restructure the grain after you are finished forging. If not forging, dont worry about it.
After shaping you will quench to harden. Again, heat until critical, and then a few seconds thereafter. Make sure if you are using a forge or similar that you are moving the piece about during the heat for even distribution. Better yet, if you have any square stock steel, place that in the forge and put the piece inside that like an oven. Depending on the steel, the quenchant will be either oil or water and some steels are even plate quenched. I will assume this is a typical (more or less) carbon steel and simple canola oil can be used. You will want to heat the oil prior to quenching to minimize cracks in the steel. Just heat some scrap steel and place in the quench oil. As already noted, be aware of a flame up. Be sure to move the piece around in the oil in a cutting manner, not side to side where warps can be introduced. I would have a set of clamps and some angle iron handy in the case of a warp. You will have around 10 seconds immediately after the quench that you can address warps. When the steel hardens, it will be brittle so address any warps quickly. Test to see if it skates a file. If it does not, you either didnt heat long enough or your steel requires a harsher quench, usually water. I've made knives from some lawnmower blades that would not harden with an oil quench, but hardened nicely with a water quench. To minimize stress on the steel, if you must quench twice, take the time to heat to critical and let slowly cool overnight again to restructure the grain before the second quench.
After quenching, remove the scale using a wire wheel so you can watch the colors on the steel. You will need to temper it back to remove the brittleness. Do this in a toaster oven usually at 400 degrees for an hour. Cool and do another cycle. Usually two cycles is plenty. After tempering the steel should have a light straw color to it.
If you have questions, message me and we can speak on the phone regarding.