When working with Steel, heating to a temperature of 500F to 575F will turn it blue. Putting it in the oil is not a quench as the metal is not hot enough to lose any hardening. The oil just seals the color and prevents it fro getting any darker.
The steel should be clean and bright before you start and free of oil wax or varnish. You can control the temp better if you heat a larger object and have the piece you want to color resting on it as you apply heat to the larger object. Stop heating the larger object when the piece you are coloring begins to change colors. Let it "coast" to blue and then drop it in the oil. The hardening is NOT affected by the process.
NOTE: the silver solder that is used on heat treated steel - like your gun sights - has a higher melting point than 575F. Most tin based solders will melt at 500 to 550F. You are not hurting the screws.

Thanks PaulS.