High sulfur based oil is good to use when machining, especially for
threading where you don't get the oil very hot. There is no advantage
to sulfur based oil when heat treating.

You can use motor oil, but if you are going to buy oil for heat
treating, don't buy motor oil. Too many additives that may be bad for
you when you breathe the vapors.

Some kind of vegtable oil would be better. Not as much of a polutant
when it gets spilled, equally good at cooling parts at the right rate,
smells much better.

Dan