Quenching is a bit of a mysterious art. Some people use water, others choose oil.
Oil quenching gives a slower cooling rate than water. It is less likely to induce internal stresses (and possibly cracking in some alloys) but you lose a bit of hardness.
Cracking is not usually a problem in most carbon steel alloys, so I normally quench steel in water. Mainly because it's easier to get a bucket full and is less messy than oil. If you're worried about brittleness, you can temper it after quenching. Just crank your oven up to its highest temperature and chuck the sprocket in for a couple of hours. That'll be enough to relieve internal stresses and reduce brittleness.
Another quench method is to set your hose nozzle to a fine spray and then spray the sprocket until the surface just loses its red glow, then let it continue to cool slowly in air. The quenched surface will be hard, and the slow cooled core will be more ductile for toughness. The heat from the core as it cools will also self-temper the quenched surface metal. It takes a bit of finesse to get it just right, so probably not a reliable method for a novice metal worker.
When I was an engineering student, the metallurgy lecturer said that heat treatment of steel was developed in medieval times when they were making a lot of iron alloyed edged weapons. But it was as much alchemy as it was science. Apparently they got good results with swords that were quenched in urine. They wouldn't have known at the time that urine contains nitrogen which would have diffused into the surface metal, giving a kind of case-hardening effect. There were all sorts of hocus-pocus quenching recipes in the middle ages, like swords should be quenched in the urine of a red-headed boy, or the urine of a pregnant cow.
Anyway, if you want to give it a try, heat your sprocket up to cherry red and then piss on it.
