I quench it in oil and then agitate (move around) for a bit (say 10 to 20 seconds or so), then take it out and quench it in water the rest of the way. the water bit is not necessary from a heat treatment perspective, it's just so I can hold it with my hands without burning myself. A forge doesn't need to be expensive btw. You can easily make one from scrap.
See here for how I built my forge:
http://onikudaki.be/content/54-building-forge