If you're going to use the angle grinder on the files, you really don't need to anneal them first. Hardened or soft really doesn't matter to the angle grinder. And since you are going to heat treat afterward you don't have to worry about drawing the temper out when you grind it hard anyway. The only problem about leaving them hard is drilling the tang holes and you can spot anneal with a propane (mapp gas is even better) torch. Heck, if you really want to anneal the files first you can just use the torch anyway. Temper starts to draw (on most tool steels) around 450 degrees, so the torch will do it.
I'll second M_A_X about the cardboard model. Draw out the blade style and handle shape on cardboard and cut it out. You can fine tune the handle shape on cardboard, but it's hard to do after you've made the knife.
If you're not going to make the jigs that GreenPete uses to hold the desired angle when doing the final file work, then you might want to wait and grind the profile for the handle AFTER you've ground and filed the edge bevels. That way you have straight (parallel) edges on the file to clamp in the vise. Then tape up the blade good and grind the handle shape. That will also minimize the anguish of wasted work if you mess up the blade grind.
Greenpete put oil on the wet/dry sandpaper when he sanded off the scale. I really don't know why. That will just make the paper load up and not really cut very well. Use water with a little bit of soap in it to wet the paper and keep it open and cutting.
I've made a bunch of mycarta, including denim. I've used the techniques shown and they work pretty well (now I use a 12 ton press). One thing I don't really like is using the fiberglass resin. You've really only got 10 or 12 minutes before it gels too much to get a good squish. So once you start, you have to be quick to get a good wet out of all the pieces and everything stacked and squished. It's an ugly race. I also don't really like fiberglass resin because it will eventually yellow and it will always smell a bit like fiberglass. That technique works best if you're only making enough for one set of scales at a time.
Good luck