The best steel for a beginner to use that will show decent hamon activity is 1084. It can be heated to non-magnetic and quenched without any significant hold at temperature. For quenching, a fast oil (Park's #50) is preferred or a brine quench (water+steel); however, I've heard of people getting by with mineral oil or canola heated to about 130F. 1095 really needs that fast oil. Brine can work as well, but you'll have increased instances of failure. Also, I typically hold 1095 for a few minutes at temperature before quenching. If you're using a forge, it's often hard to hold the temperature without overheating. If you're using an oven, then you're golden.
W2 probably has the best activity for hamons, but it's hard to come by. I bought mine directly from Don and had it forged out by fellow with a power hammer (it was 2.5" round bar to start with).
From reading Don's post re: W2, I believe he heats the steel to 1425-1450. If you're using the forge, hold for a couple of minutes. If you're using an oven, hold for about 15 minutes. He quenches in Parks#50.
1084, like I said, is probably the best to work with as a beginner and pretty easy to come by. You can heat it to 1450, hold for a minute or two (longer in the oven because of good temp control), and then quench in a fast oil.
For clay, use something like satanite mixed with water. Don't get the clay too thick or too close to the edge. Between 1/16 to 1/8" per side is what I do (closer to 1/16"). If you don't have satanite, it may be worth getting some from Darren Ellis. If you can't, you can try Rutland's furnace cement or something like that, though it's hard to get the layer as uniform, and you may have some pitting.
Hamons are a tough beast to pin down. You can probably get some sort of hamon with every try, but it's hard to get them to do what you want them to. Remember that a hamon is really just an aesthetic thing for a knife, but I sure do like 'em.
BTW, here's a link to a great hamon tutorial that Stephan Fowler put together on another board:
http://www.knifedogs.com/showthread.php?t=1710
I heat treated a W2 blade today from Don's stock, and I'm excited to see where the hamon turned out (if it did). I'll post pics when it's done.
--nathan