If I understand you,you are running a clamp type knurling tool holder with 1 straight knurl wheel,and 1 blank wheel. If that is correct,definitely take the straight knurl wheel and make another straight knurl wheel with it. The blank wheel running opposite your blank wheel is a huge no-no.
I don't know the maker of your existing plain knurl wheel. Before you try knurling annealed 01 drill rod,take the wheel out and try running a SMOOTH CUT,new Nicholson file against the SIDE of the wheel,to make sure it is HARDENED. You could just make a simple,1 wheel knurling tool holder like I used in my pictures,and just do the knurling with 1 wheel,unless you have a very light lathe,and are worried about the amount of pressure that single wheel knurling will put on your spindle bearings.
I'll mention that for brass,a FINE pattern knurl,rather than a coarse pattern knurl works better,as less brass is displaced and squeezed into a smaller pattern. You don't want the brass to start to flake off from being over worked. When that happens,you'll never get a clean knurl. I haven't tried annealing cold rolled brass stock before knurling,but I'll bet it would help to get a good coarser knurl because the brass hasn't already been partially work hardened by the cold rolling process (hence the name "half hard,or full hard brass").
To anneal the brass,heat it to dull red,and just let it cool in the air. Be advised though,when you take the temper out of brass,it reverts to the strength of cast brass. If you are knurling a smallish SCREW,best leave it hard,and use a fine pattern knurl. Cast brass screws easily wring off. If it is just a knob you are making,it won't matter.
In the 18t.C.,you will always see brass hinges with iron screws in them on wooden boxes. They only had cast brass,and knew it was weak. Someone in Holland figured out how to make stronger brass pistol barrels,for use around salt water,by rolling brass sheet around a mandrel,silver soldering it,then HAMMERING the brass all around. He was making cold rolled brass out of the weaker cast brass. Naval pistols frequently had cast brass barrels at the time. At Mt. Vernon,you can see Washington's brass barrel pistols. One is burst open. It did not have a hammered brass barrel.