4140 should always be quenched in oil. It has alloys that make it more hardenable than 1045, meaning it hardens deeper, but that's not required in a hammer. Neither steel is great for hammers. They can attain sufficient hardness, but have poor wear resistance. Plain high carbon steels like 1095 or W1 at around 1% C will harden 1/4 " deep with a tough core that is twice the strength of the core of 1045. with a wear resistant case. Anvil faces, which are essentially hammers, have always been made from high carbon steel because of it's abrasion resistance. I don't where the recent trend to using medium carbon steel for hammers came from, but they don't make a quality hammer.
