Forging is fun. Steel needs to be hot forged but iron can be cold forged, needing only to be annealed when hammering has hardened it.
Common nails are made of iron, (or of mild steel in this case you must anneal them when you feel they are getting harder to hammer) ; any nail, around 3 inches long, can be turned into a small knife. Old bent nails cost nothing so you can try and make different shapes at no cost. Annealing means bringing the steel to a red-heath temperature and letting it air-cool.
Step 1: WHAT YOU NEED
You need a hammer, a lump of steel for an anvil (a sledge hammer head will do), a stump, a flame, a couple of pliers, and a file.