Well, after reading some of the other posts on this subject, I would have to agree that the best option is to have someone else do your heat treat for you, especially if you are not concerned about making your knife entirely by yourself.
If you want to experiment yourself, then you can do the simpler carbon steels with torches. The oxyacetylene set-up is used by many knife makers. A propane forge or a heat treating oven is even better in my opinion, but you are talking about spending some money for the equipment.
Propane torches are cheap, but they are frustrating to use (especially the larger the knife gets) and you may not get the optimal results, but they do work.
It's pretty much like any other aspect of knifemaking, do you want to use $5.00 files or a $1,000.00 belt grinder. I'd prefer the grinder but can't justify the expenditure yet. In the mean time I couldn't put a price tag on what I'm learnig by making knive with files.
The same is true of the heat treating oven (around a $1,000.00) and an oxyacetylene rig also will cost at least a few hundred dollars to set up (but, as previously mentioned) you might find a good used one much cheaper).
It won't be much longer before I've given up propane torches entirely. I have an oxyacetylene torch kit but even renting the tanks are proving to be a bit more expensive than anticipated. A good bet is building a propane forge of some type, this can be relatively inexpensive and is very effective and an added benefit would be the ability to forge blades also. I'll be like my screen name now and shut-up!-Guy Thomas