Unless you're a metallurgy specialist I'd stick with what the metal is named. If it's got a "W" in the designation then use water. If it's got an "O" at the beginning then use oil. Second guessing is a good way to end up with a part which either hardens too fast and cracks or distorts or which doesn't harden at all. There's no middle ground. It either forms the right structure during the quench or it messes up.
Common drill rod is oil quenched. I've used both mineral oil and cheap 5W-30 motor oil and both work just fine. Common ground flat and square stock tool steel that you can get from KBC Tools and some other sources is also oil quenched.
If you're working with existing steel or off the shelf items such as hardened pins that you don't know the nature of the steel then the rule of thumb is to try the oil quenching as the least stressful option. If it doesn't harden THEN clean it up and re-heat for a water or, better yet, strong brine quench. A strong salt brine doesn't shock the steel as much since the boiling point of the brine is higher so it doesn't steam off the hot surface as much. The brine is simply a case of dissolving common salt into some water until it won't take any more.
Go to the local paint stores and buy an empty liter can and lid for the buck they want for it. This is a really good oil can for quenching because if it DOES set the oil on fire you can just flip the lid over it and it goes out. Don't panic though. As long as you've got good leather gloves on and a long enough pair of pliers (without plastic covers please) than keep stirring through the flames for the few seconds it takes to finish the quench. Heavy all leather work gloves or welding gloves won't burn in the few seconds this takes. The flames don't get that high from that size of can. When done just drop the part in the can and put the cover over the flames to put them out in a few seconds. An old leather jacket standing by can be folded over the burning pliers if the oil on them catches as it comes out. The flames just don't burn all that high off this stuff.
In all the couple of dozen times I've ever oil hardened pieces I only once had the oil start burning when I had too big a piece in too small an amount of oil. And it burns with a pretty low sort of low flame because the oil isn't that warm. It's nothing at all like some of the impressive flash fires you can get off hot frying pan grease.
Best of luck and let us know how it goes.