Working with different steels, O-1, D-2, W-1, H-12 etc.
Some are oil hardening, some are air hardening, and some are ideally water hardening.
Quenching in oil slows the cooling processes down.
If I were to take my O-1 out of the oven and quench it in water it would cool far to quckly and most likely crack, but in oil it cools slowly and hardens properly.
Lead is a totally different critter, dumping it in water will chill it quickly and harden it immediately.
Depending on the alloy it might continue to harden over time through precipitation. So finding a way to check hardness relative to dead soft, or what you have/want could be important if your picking nits.
Quenching in oil ? Why not ? Try it, see how it works, thats the fun of it.
If nothing else, no harm done and your slugs are prelubed to a certain extent.