Not sure if I am doing it correctly but, this is what I do.
1. Clean the screw
2. Tie a wire to it (acts as a handle)
3. Heat the screw with any torch until it just begins to change color
4. Drop it in oil.
Thats it. Maybe someone with more knowledge can tell me if Im doing it right. Experiment with scrap to get a feel for how much to heat is needed.
Not sure if the type of oil is important. I have heard it should not have additives but I don't know. Castrol motor oil works for me.
I think traditional blacksmiths do something similar with linseed oil. They heat to about 400 F and wipe the oil on with rags.