yeah the chucking end of drills are not hardened, and if they're hss you wouldn't be able to heat treat them. The ends are left soft so the chuck can get a grip on them. This one reason why you're not suppose to use an endmill in a drill chuck - its hardened all the way along itself can easily spin in a drill chuck because the jaws get no bite.
One has to select the quench to match the steel. W1 is a water quench, O1 is oil etc. The differences are the speed of the quench - you'll get O1 in oil about the same rockwell as you will W1 in water. Oil is slower than water, cold brine fastest of all. O1 in water is too fast and you risk cracks. W1 in oil is too slow, you want get full hardness. Don't forget to temper though!
Of the different tool steels, ie if not buying pre done blue temper stuff, I'd recommend a length O1 oil hardening tool steel (aka drill rod but not all drill rod is O1!). Traditionally a little more expensive that W1, the quench is a little slower than for W1. A couple of bucks for a three foot length of 1/8" diameter will last a looooong time and its easy to machine as it comes annealed so is also good for practice