Start by making a forge, you'll need it unless you want to craft wooden knives :P

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Don't go straight into knife making, make nails, lots of them. Once you understand some of the techniques used in blacksmithing, you can try other things or go straight for a knife. Personally i would just craft tools to help you make knives if I were you. You may prefer to make a reasonably large knife and not pocket sized since smaller is harder due to the finess of things. Basically do things that teach you how to craft, rather than going straight to you goal. A sloppy foundation will do you no good.

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I personally don't have any electric tools for this and started with only a drum forge with no tools except a hammer and a make-shift anvil. I'm old school lol :D