I only have problem with the new ones from the past 10-15 years or so. The ends are butt welded on and shear off. Before that they were probably hot formed and then machined. Never had one break.
If I had to make on I would use silver steel or drill rod as it's called in the USA. and not leave sharp abrupt corners down at the business end. Not like the short one in Georges shot and a longer taper than that on the large one. To be honest though the scroll in the chuck would probably strip before either of those keys broke.
If heat treated I'd go from blue to very dark straw at the end unless it was a very small hex one. In that case paler at the end. For the usual chuck sizes circa 6in and up and square keys I don't think I would heat treat – just make sure it's very precise fit in the chuck
I have seen small 4 jaws where people have obtained longer grub screws and added a knob on the end to ease setting up but I feel a longer handle is easier – more movement for tiny adjustments. But if too long and too tight the chucks can break.
John
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