EDM cutting generally doesn't generate residual stress (or just very tiny around the cutting place), but the way you EDM-cut may or may not relieve the stress caused by previous machining - depends on if you want the stress to be relieved for your measurement.
If you just doesn't want residual stress caused by machining to change the dimensions, better to heat-treat the part and then EDM cut.
after turning, you can use wire edm however during cutting it generates lot of heat at interface (wire and work piece), it may add or release the stresses with in your earlier turned piece. that you decide
Do you have a hollow cylindrical workpiece? How do you plan to measure the residual stresses? Are you planning to use the deformation after the relaxation to correlate to the residual stresses?
Cutting the workpiece using EDM in the manner that Abbas described (i.e. making multiple cuts down the axis) will allow residual stresses in the circumferential direction to relax. If these stresses are large, it may cause the cut parts to splay outwards visibly. This will give qualitative confirmation of the presence of significant residual stresses, but will not allow you to evaluate their magnitude or distribution accurately. If you need a quantitative measurement, have a look at:
Practical Residual Stress Measurement Methods, G. Schajer (ed.), Wiley, 2013
Instead of turning, you can carry out facing (say on a 80 mm diameter work piece) and cut-off with a length of 8 - 10 mm. Take the disc for residual stress measurement using x-ray diffraction technique. For facing use a CNC turning centre so that cutting speed can be kept constant by continuously varying the spindle rotational speed by CNController.