Oil is used to quench carbon steel, we use tap water to drop our cast bullets into if we want them full hard.

Of late, with powder coating nobody bothers with water dropping bullets as they can be shot soft at full speed because of the plastic jacket you put on them by powder coating them.

Shooting bullet lube grease into lube grooves is pretty much passe nowadays ......

Micro groove likes post powder coat sizing at an extra thousandth or two larger than your old lubed lead.   This is the same fit that actually makes microgroove work with bare lead bullets, so this isn't new to cast bullet folks.

Actually, if the bullet will chamber after powder coating lots of the new crowd just shoot them as cast and as powder coated, trusting the taper leading into the rifling to size the bullet to perfection as you fire it.

My 8x56 Steyr rifles operate just fine using this "size it as you shoot it" trick as the throats are just plain huge in those WWI vintage mud eating design guns.   Results would vary on more modern guns so I size those according to current LEE cast sized standards.  

A thou and a half oversized on a powder coated bullet is the result, generally.