I agree with Cody that using a magnet to determine critical temperature is a good alternative to knowing heat colors. Except for exotic alloys, which are unlikely to be encountered in typical home gunsmithing, the generic heat treat for plain medium and high carbon steel should work just fine. If you don't know the alloy, you can quench in oil. If the part isn't hard enough, reheat and quench in water. You are unlikely to crack a small part like a firing pin; warp, maybe. If you are willing to experiment and learn, heat treating is a relatively easy process.
I agree with Cody on using a molten lead bath for tempering. However, it is not necessary to allow the pin to cool in the lead and reheat. Temper is established immediately by the maximum temperature to which the part is reheated; future reheat above the current temper (exchange hardness for toughness) will further temper the part. Quenching has no effect on temper. You can dunk the part in oil, water, brine, or just air cool it - no difference. The pins from Jack R should also include JR's recommendation for heat treat.
Air hardening alloys literally quench in air. I'm not aware of the use of air hardening alloys in gun work.
