Sounds like it air hardened. Some alloy steels will harden with only air cooling. You need to heat the tang with a torch until it turns blue. If you let it get to the critical phase, which occurs at a moderately bright red heat, then some steel alloys will fully harden in air. You can anneal by slowing the cooling rate in warm ashes or similar, but better if you do not get the steel so hot that it hardens. Tempering, which is only the slight softening phase of the heat treating process, is done at a lower temperature. You can probably spring temper the tang, which should be soft enough to drill, by heating the tang only till it turns blue, then air cool.
All the above applies to moderately alloyed steels. If you have an air quenching tool steel like D2, which is what they make planer blades from, you cannot drill them in the hardened state with anything less that carbide, and even that is tough. The annealing cycle for such steels is far beyond the capabilities of a guy with a torch. Think 8 hours plus of carefully controlled temperatures ramped down at precise rates over time. Computer controlled kiln is needed here.
Best of luck,
Darcy