I've heat treated in the past but with the advent of powder coating I havent found it necessary for velocities up to 2400 fps. in the 30-06 using my 50/50 pure / COWW alloy and water quenching after powder coating which is as far as I've pushed it to this point. It's not that I don't think I can go faster, I just haven't had the time to do the experimentation and with the accuracy and performance I'm getting at the ranges I shoot at not much of a need to change anything.
As far as my heat treating process, back when I used to do it pre PC days I never stood the bullets up individually. I post sized the bullet, placed them in a pan or wire basket and heated them at 430 degrees for an hour, water quenched then gas checked if needed using the same sizing die I used previously.
Water quenching vs. heat treating both have their pros and cons. Water quenching is faster but bullet BHN tends to vary more depending on the temperature of the bullet when it drops from the mold into water, whereas heat treated bullets are more consistent bullet to bullet as they all get quench at the same time. Water quenched bullet will also age soften more over time compared to heat treated bullets but I highly doubt most will ever notice the change unless you sit on them for many years.
An excellent article on heat treating vs. water quenched bullets can be found starting on page 118 in the NRA on cast bullets NRA