Water is okay for some steels. Oil is okay for some steels. Some oil needs to be heated to a certain temperature for some steels. Some steels air harden. If you water quench 5160 (a popular blade steel) your blade will most likely crack.
Truck spring shops might sell you good known steel. Often 5160 or 1095. 1095 is harder to heat treat correctly with cheap tools. 5160 is pretty forgiving.