Haven't done so, but have read a little bit. There are two different things: One is 100% cold forming, which turns material quite fragile. AFAIK this only happens in industrial processes.

OTOH, some old japanese blacksmiths supposedly hammered their pieces from bright yellow to dark red, and sometimes even cooler. This "cleans" more the steel, and hardens it a little bit but, as @spazola has already mentioned, there is more risk of later fractures.

HTH.