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You can do a reasonable job of heat-treating in a small shop (or even in your kitchen, but we will get to that in a moment). Eric Reed is correct; in most situations when you turn down a shaft you will remove any surface heat treating/hardening (depending on how the material was originally manufactured). If you have annealed the piece prior to working it, it is guaranteed that the heat-treating has been removed. To get it back, you will need to re-harden and then temper the steel.
Once the piece has been manufactured (turned, milled, filed, finished or whatever) reheat the entire piece with a torch until it is cherry red (around 1650 degrees F). Holding it in a pair of tongs (not your hand - duh!) quickly plunge it into a bucket of water (OK) or oil (preferred). You want to plunge it straight in vertically (i.e. along the length of the piece), and not sideways, to make the stresses within the piece as even and consistent as possible. For the same reason, swirl the piece in the liquid in a figure-8 pattern, and not in a circular pattern, until it cools. This will ensure that fresh surfaces of the piece are exposed as it moves through the liquid, and makes the cooling as even as possible.
Once the piece has cooled down to about 100 degree F, the hardening step is done. The piece is nice and hard, but it is also brittle (with good tool steels, if you drop the piece on a concrete floor at this stage it will frequently shatter). You need to temper the piece to draw back the hardness of the surface material into a stronger, less brittle form, and relieve internal stresses. Take a file or some emery paper and scrape the surface of the piece to reveal fresh metal. You will need to evenly reheat the piece to the tempering stage, and then quench it again. While it is possible to do this with a torch, it is difficult. The easiest way is to heat it in a kitchen oven (I will leave it to you to determine if you want to ask Mom before or after you do this). Depending on the alloy you have, you need to get the piece up to about 460 degrees F. At this temperature, this fresh exposed metal will turn a straw yellow color. Watch the color carefully - this is your best indication of when the steel has tempered. If it goes past yellow into brown or purple, it is too hot and you need to start over from the hardening step. Once it is straw yellow, take it out of the oven and requench it immediately. When it has cooled, you are all set.
This isn't a perfect process that you would use for large-scale production, but it is a reasonable small-lot method. Knife makers and blacksmiths have been using this technique successfully for ages. You will have a nice hardened piece that should stand up under the stresses your robot will see.
-dave
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