I think you'd have to be sharpening quite furiously to get the edge hot enough to locally anneal it but I've never tried.
If you want advice on sharpening (although it doesn't sound like you need it) from people far more proficient than me have a look at https://edgematters.uk/
It's not really to stop it getting hot, it's to carry away the particles that are removed so that each pass in on a clean surface.
Sharpening you move from a low grit to high, so start on 300 then 600, 1000, 3000, 8000 (12k & 15k for a razor). Once you have achieved the desired angle of bevel...
I find sharpening to 1000 grit give me a knife sharp enough to thinly slice ripe tomatoes. If you want to go sharper (and a decent japanese blade will certainly take it) then go for it.
I use waterstones. 300/600/1000/3000/8000 grit. For kitchen knives I stop at 1000, anything else is overkill. Takes practice to learn though.
I also have a Lansky guided sharpening system (fiddly but good results).
For the average user I'd recommend a Lansky 4 rod turn box...