Easy as pie. One word of caution: do it outside! It smokes a little, and I'm sure breathing the stuff isn't good for you.
Anyway, I use a propane torch. You don't have to get the part cherry red, just hot enough that it changes color. Straw, I guess, but I just heat it until I see the color changing. Hold it with something that can take the heat or you don't care about. I use old pliers.
After it changes color, take the heat off and dunk it in dirty motor oil. Swish it around a bit until it cools off. I've found that the dirtier the oil, the better the results. I'm assuming because it has the carbon build up in it. I take it out, and repeat the process. Not sure why, but that's the way I started doing it, and it gives good results.
This will give a good, hard black finish. Bonus because it's already oiled, jut wipe it off. It will show any tooling/sanding/filing marks, so if you want a smooth finish, the part has to be smooth before you start. Polished parts come out looking very nice indeed.
Here's a picture (kinda blurry) of a pin I made. That's a cut off and turned S.H.C.S. in mild steel.