Go to a tack shop and buy neatsfoot oil (not neatsfoot oil compound).An aside, if you had purchased O1, oil hardening, instead of W1, water hardening, the procedure is the same, but quench it in motor oil or something like that. Ideal Lard oil, but most of us don't have that handy.
Thanks for replies, learning a lot here.
I'm thinking drill rod might also be used for pinning steel parts together?
If that were the case, after drilling thru the parts, I'm thinking widen the outside holes just a bit (sort of a small countersink). Heating the rod and then pounding to form a mushroom at both ends? I'm not sure how hot the drill rod should be though or even if heating is needed since you wouldn't want the rod expanded when it goes into the hole. Or maybe just press it in place? Curious what technique you use and for which projects.