Are you talking about combining the basic elements (iron, carbon, nickel, etc...) into a crucible and casting a "from scratch" billet?
I believe a hand full of makers have done this, including Rick Furrer among others.
Ultimately, it's not very practical from any kind of a production or cost savings standpoint (unless you have a few million dollars to start up your own mini-mill), especially considering you can get just about any steel you want to a specific dimension in an already cast, rolled, and annealed, ready to work state, for a fraction of what it would cost to get properly set up to do yourself, in even a limited capacity.
Now, if you're talking specifically about making somethign like san mai or damascus, that's a whole other ballgame, and much more attainable/realistic for the average maker.
Good idea Laurence, I was heading toward heat treating but that would be easier.