Not so much for knife making but I have a DIY furnace for melting/casting.
Rammed DIY castable refractory and a waste-motor-oil burner. Cheap to build and to burn. Not too particular on temp control but I do anneal and temper with it. You can add a thermo couple and a bit more precise controls (mine basically has three settings, Off, hot, and f@ckin hot) if you needed to.
Can be run on charcoal as well, which is a bit more traditional for knife making.
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