Most small piece of steel one buys (local hardware, Home Depot, Lowes, &c) have been cold rolled to shape. Should have a white/metallic color and smooth surface. You can use it as-is. If you want it softer, to work more easily, heat it with a torch to a nice red and set it on the floor to cool.
If you have a furnace that would be about 1350-1400F (700 - 760C). Do not quench it (probably doesn't matter anyhow if it is mild steel from the hardware), no need to pack it in anything for a really slow cool.
Steel is usually HOT rolled to plate, bar or strip. HOT because it is softer, easier to roll. When it comes off the mill it has a black (oxide) finish & the surface is not perfectly smooth. For most small stuff this hot rolled steel is then rolled "cold" to its final shape. Better finish & better tolerances than hot rolled.
"Hot" means the steel mill heated it to a glowing red before they started to roll it.
"Cold" means they didn't heat it, though just the heat it works up from all that "cold" work will be enuff to burn your fingers.
Your P.I.T.A. Metallurgist, Jim Kelly