There's an old watchmaker and gunsmith method that works really well in a small shop.
There are two ways this method can be done: The sand bath, and the lead bath.
To do either, the part MUST be polished to a brilliant shine and totally degreased with a solvent that leaves NO residue.
The sand bath method:
Get a metal baking pan about 2 to 3 inches deep.
Get some ordinary sand and wash it thoroughly to remove all dust and dirt.
Dry the sand and mix it to a loose consistency.
Put the sand pan on a burner and heat the sand HOT.
When the sand is hot enough, bury the part to be colored in the sand, leaving a small area alike a corner just sticking up out of the sand.
Watch the part as it changes color from a light straw, to a gold color to purple, to a brilliant DEEP blue.
Pull the part out of the sand and quench in water (or oil).
The Lead method:
Heat up a pot of lead in a bullet casting furnace.
Drop the part in the molten lead and HOLD IT UNDER. (Steel is lighter than lead and will float).
Leave a corner up out of the lead and watch for the color you want, quench.
Using these methods, you can closely control the color.
For tiny parts, you can flame-color the part, but it's much harder to control.
Simply hold the part in a pair of large tweezers and pull it through a flame and out. Repeat until the part turns the color you want.
Pulling the part through the flame allows you to more closely control the color versus just sticking it in the flame and holding it there.