Hi ImpracticalM89:
Some things to consider if you intend your welds to survive any significant load or cyclical stresses.
There is a specific procedure for welding this material involving a preheat, maintaining the heat during welding and a slow cool to prevent post weld cracking.
The rods you use are also important, and vary depending on the application...4130 is one choice 7018 is another, I've heard of 308 stainless, and I'm sure there are more.
It is NOT recommended to weld the material in the hardened condition.
Welding engineers have a whole recipe for handling this material simply because it is far more challenging that welding something like mild steel, and it's way less tolerant to deviations from proper procedure if you are going to stress the assembly.
Probably the biggest requirement is to preheat, maintain the heat during welding and slow cool.
The other is to avoid hydrogen embrittlement (that's why 7018 rod is a common recommendation if you're going to stick weld it)
Obviously the rods need to be kept very dry.
So a lot depends on what you intend to do with your assembly.
If it's going to go in a critical system (like for example a car suspension) you cannot just go at it with home shop methods.
Anyway, to answer your original question, heat treat after welding.
Cheers
Marcus
www.implant-mechanix.com
www.vancouverwireedm.com