There are hundreds of types of steel out there, all with different initial properties and heat treatment qualities. All steels cannot be hardened with heat. Basic hot and cold rolled steel of the 1018 or 1020 do not have enough carbon in them to be hardened. Try it. Heat up a piece of hot rolled flat iron steel to red hot, quench it in water, then drill it. You can still do it. "Drill rod" has the proper initial chemistry that it can be easily machined in its natural state, PROPERLY heat treated (which may invlove tempering afterwards) then ground to the point of choice. Most junk tooling coming from overseas that looks the same as good tooling, but is really cheap, has poor metal chemistry that saves manufacturing costs, but will give you exactly what you paid for..... a cheap tool. Take advice on recommended steels from those with experience and you'll have a better chance on getting a tool that performs like you desired.
>Well said Pete. I've made a lot of tools using everything from allen wrenches and screwdriver to drill rod and HSS. Cold roll steel rod like you get from Lowes is only useful to support good steel. I use drill rod for all my small hollowing tools and for my tool rests.
You can get heat treating instructions from the companies that sell drill rod. Then you will have some idea what temperature to anneal the drill rod.