Will/Ian: You are correct, traditionally grinding was the only way to 'machine' hardened materials. But with the advent of carbide inserts, and more esoteric materials, turning of hardened materials has become possible. The advantages for industry are no grinder required, and parts can be hardened and then machined, ie, fewer operations. For turning hardened silver steel I used an ordinary CCMT carbide insert and a CBN insert. Both worked and left a pretty good finish. The carbide insert looked a bit sorry for itself afterwards, whereas the CBN insert didn't look like it had been used. The trick is to run fast with high feedrates; the CBN insert is very particular in this respect. This gets the metal in the shear zone red hot, so it is actually quite soft. As far as I could measure the hardness of the workpiece didn't change. The downside of CBN inserts is the cost, I think mine was £25.
As for milling HSS I don't anneal it. I use my oldest 10mm uncoated carbide 3 flute slot drill. The machining doesn't do the slot drill any favours, but it is old so I don't worry about it. Although the HSS toolbit is going to be finish ground afterwards the milling operation actually leaves a fairly good finish. Again the trick is to run fast and hard. The swarf needs to be coming off orange in colour, and the slot drill may well be glowing a dull red.
Andrew